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Generierung schiefer Verteilungen mittels Skalenparametersplittung

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  • Grottke, Martin
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    Abstract

    There are several proposals of adding a skewness parameter into a symmetric distribution. Most of them are combined with a certain distribution. The following working paper will present an universal method of generating an asymmetric distribution. As an application this method is used to make the Generalized-t-distribution skewed - thus producing the Skewed-Generalized-t (SGT-), the SGT2- and the SGT3-distribution. These distributions include several well known distributions like the Normal-, Laplace-, t-, Cauchyand Box-Tiao-distribution. They also allow a higher leptokurtosis, what makes them suitable for the estimation of financial data --

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    Bibliographic Info

    Paper provided by Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics in its series Discussion Papers with number 30/1999.

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    Date of creation: 1999
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    Handle: RePEc:zbw:faucse:301999

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    Web page: http://www.statistik.wiso.uni-erlangen.de/
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    1. McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(03), pages 428-457, December.
    2. McDonald, James B., 1989. "Partially adaptive estimation of ARMA time series models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 217-230.
    3. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Discussion Paper 1996-58, Tilburg University, Center for Economic Research.
    4. Butler, Richard J, et al, 1990. "Robust and Partially Adaptive Estimation of Regression Models," The Review of Economics and Statistics, MIT Press, vol. 72(2), pages 321-27, May.
    5. Panayiotis Theodossiou, 1998. "Financial Data and the Skewed Generalized T Distribution," Management Science, INFORMS, vol. 44(12-Part-1), pages 1650-1661, December.
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