Multivariate skewing mechanisms: a unified perspective based on the transformation approach

DOI10.1016/J.SPL.2010.07.004MaRDI QIDQ613141zbMATH OpenOpenAlexFDO

Authors Christophe Ley, Davy Paindaveine

Publication date 20 December 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/75300/3/PSM.pdf

zbMATH Keywords

skew-normal distributiontail behaviorskewing mechanismprobability transformtransformation approach

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

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Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• scientific article; zbMATH DE number 2148842 (Why is no real title available?)
• scientific article; zbMATH DE number 5224905 (Why is no real title available?)
• A Constructive Representation of Univariate Skewed Distributions
• A note on rescalings, reparametrizations and classes of distributions
• Families of distributions arising from distributions of order statistics
• Generalized skew-elliptical distributions and their quadratic forms
• Le Cam optimal tests for symmetry against Ferreira and Steel's general skewed distributions
• On Bayesian Modeling of Fat Tails and Skewness
• On the singularity of multivariate skew-symmetric models
• Sinh-arcsinh distributions
• The Skew-normal Distribution and Related Multivariate Families*
• The epsilon-skew-normal distribution for analyzing near-normal data
• The multivariate skew-normal distribution

Cited in

(15)

• On the Marshall-Olkin transformation as a skewing mechanism
• A general setting for symmetric distributions and their relationship to general distributions
• Parametric Stein operators and variance bounds
• Discussion
• A new distance based measure of asymmetry
• Maximum likelihood characterization of distributions
• On modelling asymmetric data using two-piece sinh-arcsinh distributions
• Flexible asymmetric multivariate distributions based on two-piece univariate distributions
• The new unified representation of multivariate skewed distributions
• Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
• Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
• On relative skewness for multivariate distributions
• An overview of skew distributions in model-based clustering
• On Families of Distributions with Shape Parameters
• Multivariate skew distributions with mode-invariance through the transformation of scale

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