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On An Absolute Autoregressive Model And Skew Symmetric Distributions

Author

Listed:
  • Dong Li

    (Tsinghua University)

  • Howell Tong

    (University of Electronic Science and Technology of China)

Abstract

By exploiting the connection between a popular construction of a well-known skew-normal distribution and an absolute autoregressive process, we show how the stochastic process approach can lead to other skew symmetric distributions, including a skew-Cauchy distribution and some singular distributions. In so doing, we also correct an erroneous skew-Cauchy-distribution in the literature. We discuss the estimation, for dependent data, of the key parameter relating to the skewness.

Suggested Citation

  • Dong Li & Howell Tong, 2020. "On An Absolute Autoregressive Model And Skew Symmetric Distributions," Statistica, Department of Statistics, University of Bologna, vol. 80(2), pages 177-198.
    • Handle: RePEc:bot:rivsta:v:80:y:2020:i:2:p:177-198
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    Cited by:

    1. Xuanling Yang & Dong Li & Ting Zhang, 2024. "A simple stochastic nonlinear AR model with application to bubble," Papers 2401.07038, arXiv.org.

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