A generalized skewness statistic for stationary ergodic martingale differences

DOI10.3103/S106653071003004XMaRDI QIDQ2437896zbMATH OpenFDO

Authors Benjamin Kaehler, Ross A. Maller

Publication date 10 March 2014

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/S106653071003004X

zbMATH Keywords

asymmetrycentral limit theoremergodicmartingaleskewnessstationary

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20)

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Cites work

• A mean-absolute deviation-skewness portfolio optimization model
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Cited in

(2)

• Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution
• Asymptotic properties of the realized skewness and related statistics

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