A Novel Asymmetric Distribution with Power Tails

DOI10.1080/03610920600974567zbMATH Open1115.60016OpenAlexW2133377821MaRDI QIDQ3435977FDOQ3435977

Authors: Amita Singh, J. R. van Dorp, Thomas A. Mazzuchi 

Publication date: 8 May 2007

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920600974567

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zbMATH Keywords

maximum likelihoodheavy-tailed and skewed distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Point estimation (62F10) Applications of statistics (62P99)

Cites Work

• Statistical Applications of the Multivariate Skew Normal Distribution
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• The PDF and CF of Pearson type IV distributions and the ML estimation of the parameters
• Density estimation
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• Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
• The Double Pareto-Lognormal Distribution—A New Parametric Model for Size Distributions
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• A New Class of Skew-Normal Distributions
• Recent Developments in Nonparametric Density Estimation
• Systems of Frequency Curves
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets

Cited In (8)

• Modeling data with flat densities
• Uneven two-sided power distributions with applications in econometric models
• Nearly Gaussian distributions and application
• Asymmetric uniform-Laplace distribution: properties and applications
• The doubly-Pareto uniform distribution with applications in uncertainty analysis and econometrics
• Maximum likelihood estimation of asymmetric double type II Pareto distributions
• Modeling heavy-tailed, skewed and peaked uncertainty phenomena with bounded support
• Creating new distributions by blunting cusps

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