On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws

DOI10.1016/J.JKSS.2015.10.003zbMATH Open1381.60051arXiv1506.06232OpenAlexW2963074521MaRDI QIDQ287404FDOQ287404

Authors: V. Yu. Korolev, Lily Kurmangazieva, Alexander I. Zejfman 

Publication date: 26 May 2016

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Abstract: Two approaches are suggested to the definition of asymmetric generalized Weibull distribution. These approaches are based on the representation of the two-sided Weibull distributions as variance-mean normal mixtures or more general scale-location mixtures of the normal laws. Since both of these mixtures can be limit laws in limit theorems for random sums of independent random variables, these approaches can provide additional arguments in favor of asymmetric two-sided Weibull-type models of statistical regularities observed in some problems related to stopped random walks, in particular, in problems of modeling the evolution of financial markets.

Full work available at URL: https://arxiv.org/abs/1506.06232

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zbMATH Keywords

Weibull distributionstable distributionexponential distributionrandom sumscale-location mixture of normal lawsvariance-mean normal mixture

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Limit theorems in probability theory (60F99)

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Cited In (4)

• The statistical analysis and application of asymmetric three-parameter Weibull distribution
• Laplace-Weibull Mixtures for Modeling Price Changes
• On convergence of the distributions of random sequences with independent random indexes to variance-mean mixtures
• Financial Data Analysis with Two Symmetric Distributions

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