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

DOI10.1016/J.JKSS.2015.10.003MaRDI QIDQ287404zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cited in

(4)

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

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