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Generierung schiefer Verteilungen mittels Skalenparametersplittung

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  • Grottke, Martin

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

Suggested Citation

  • Grottke, Martin, 1999. "Generierung schiefer Verteilungen mittels Skalenparametersplittung," Discussion Papers 30/1999, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
    • Handle: RePEc:zbw:faucse:301999
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    References listed on IDEAS

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    1. 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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    4. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Other publications TiSEM 0991c197-c9e8-4904-8119-3, Tilburg University, School of Economics and Management.
    5. 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 321-327, May.
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