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Letter to the Editor: ‘On Quantile‐based Asymmetric Family of Distributions: Properties and Inference’

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  • Francisco J. Rubio Alvarez

Abstract

We show that the family of asymmetric distributions studied in a recent publication in the International Statistical Review is equivalent to the family of two‐piece distributions. Moreover, we show that the location‐scale asymmetric family proposed in that publication is non‐identifiable (overparameterised), and it coincides with the family of two‐piece distributions after removing the redundant parameters.

Suggested Citation

  • Francisco J. Rubio Alvarez, 2020. "Letter to the Editor: ‘On Quantile‐based Asymmetric Family of Distributions: Properties and Inference’," International Statistical Review, International Statistical Institute, vol. 88(3), pages 793-796, December.
    • Handle: RePEc:bla:istatr:v:88:y:2020:i:3:p:793-796
    DOI: 10.1111/insr.12425
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    References listed on IDEAS

    as
    1. Zhu, Dongming & Galbraith, John W., 2010. "A generalized asymmetric Student-t distribution with application to financial econometrics," Journal of Econometrics, Elsevier, vol. 157(2), pages 297-305, August.
    2. Zhu, Dongming & Zinde-Walsh, Victoria, 2009. "Properties and estimation of asymmetric exponential power distribution," Journal of Econometrics, Elsevier, vol. 148(1), pages 86-99, January.
    3. Vahid Nassiri & Ignace Loris, 2013. "A generalized quantile regression model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(5), pages 1090-1105.
    4. Irène Gijbels & Rezaul Karim & Anneleen Verhasselt, 2019. "On Quantile‐based Asymmetric Family of Distributions: Properties and Inference," International Statistical Review, International Statistical Institute, vol. 87(3), pages 471-504, December.
    5. David Rossell & Francisco J. Rubio, 2018. "Tractable Bayesian Variable Selection: Beyond Normality," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(524), pages 1742-1758, October.
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