The L-distribution and skew generalizations
AbstractLeptokurtic or platykurtic distributions can, for example, be generated by applying certain non-linear transformations to a Gaussian random variable. Within this work we focus on the class of so-called power transformations which are determined by their generator function. Examples are the H-transformation of Tukey (1960), the J-transformation of Fischer and Klein (2004) and the L-transformation which is derived from Johnson's inverse hyperbolic sine transformation. It is shown that generator functions themselves which meet certain requirements can be used to construct both probability densities and cumulative distribution functions. For the J-transformation, we recover the logistic distribution. Using the L-transformation, a new class of densities is derived, discussed and generalized. --
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Bibliographic InfoPaper provided by Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics in its series Discussion Papers with number 63/2004.
Date of creation: 2004
Date of revision:
Power kurtosis transformation; leptokurtosis; (skew) L-distribution;
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