Flexible modelling in statistics: past, present and future

MaRDI QIDQ5262181zbMATH OpenFDO

Authors Christophe Ley

Publication date 13 July 2015

Full work available at URL https://arxiv.org/abs/1409.6219, http://journal-sfds.fr/article/view/415

zbMATH Keywords

skew-normal distributiontwo-piece distributionstransformation approachskewness and kurtosisheavy and light tailssymmetry and normality tests

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Characterization and structure theory of statistical distributions (62E10)

Abstract: In times where more and more data become available and where the data exhibit rather complex structures (significant departure from symmetry, heavy or light tails), flexible modelling has become an essential task for statisticians as well as researchers and practitioners from domains such as economics, finance or environmental sciences. This is reflected by the wealth of existing proposals for flexible distributions; well-known examples are Azzalini's skew-normal, Tukey's $g$-and-$h$, mixture and two-piece distributions, to cite but these. My aim in the present paper is to provide an introduction to this research field, intended to be useful both for novices and professionals of the domain. After a description of the research stream itself, I will narrate the gripping history of flexible modelling, starring emblematic heroes from the past such as Edgeworth and Pearson, then depict three of the most used flexible families of distributions, and finally provide an outlook on future flexible modelling research by posing challenging open questions.

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Cited in

(13)

• An overview of skew distributions in model-based clustering
• Comparison of symmetry tests against some skew-symmetric alternatives in i.i.d. and non-i.i.d. setting
• Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
• From Pareto to Weibull – A Constructive Review of Distributions on ℝ⁺
• Uncovering a generalised gamma distribution: from shape to interpretation
• scientific article; zbMATH DE number 2124732 (Why is no real title available?)
• On application of the univariate Kotz distribution and some of its extensions
• Goodness-of-fit graphical assessment for a broad family of unimodal distributions
• Bahadur efficiency for certain goodness-of-fit tests based on the empirical characteristic function
• A family of skew distributions with mode-invariance through transformation of scale
• Asymptotic efficiency of new distribution-free tests of symmetry for generalized skew alternatives
• Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
• A new class of distributions on the whole real line based on the continuous iteration approach

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