A Novel Asymmetric Distribution with Power Tails

DOI10.1080/03610920600974567MaRDI QIDQ3435977zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

maximum likelihoodheavy-tailed and skewed distribution

Mathematics Subject Classification ID

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

Recommendations

• The doubly-Pareto uniform distribution with applications in uncertainty analysis and econometrics
• Maximum likelihood estimation of asymmetric double type II Pareto distributions
• Asymmetric uniform-Laplace distribution: properties and applications
• A hybrid Pareto model for asymmetric fat-tailed data: the univariate case
• Properties and estimation of asymmetric exponential power distribution

Cites work

• scientific article; zbMATH DE number 3833344 (Why is no real title available?)
• scientific article; zbMATH DE number 5604057 (Why is no real title available?)
• A New Class of Skew-Normal Distributions
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Density estimation
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Recent Developments in Nonparametric Density Estimation
• Statistical Applications of the Multivariate Skew Normal Distribution
• Systems of Frequency Curves
• Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
• The Double Pareto-Lognormal Distribution—A New Parametric Model for Size Distributions
• The PDF and CF of Pearson type IV distributions and the ML estimation of the parameters
• Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method

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

This page was built for publication: A Novel Asymmetric Distribution with Power Tails

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3435977)