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The fractional-diffusion equation and a new distribution to model positively skewed data with heavy tails

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  • Naik, Shanoja R.
  • Abraham, Bovas

Abstract

We introduce a new distribution useful for positively skewed dataset with heavy tails and refer to it as the “Wright distribution”. Properties involving moments, skewness and kurtosis are studied. Simulation study and derivation of the density function using fractional calculus method are reported.

Suggested Citation

  • Naik, Shanoja R. & Abraham, Bovas, 2013. "The fractional-diffusion equation and a new distribution to model positively skewed data with heavy tails," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1759-1769.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:7:p:1759-1769
    DOI: 10.1016/j.spl.2013.03.021
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    References listed on IDEAS

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    1. Benoit Mandelbrot, 1967. "The Variation of Some Other Speculative Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 393-393.
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