Skew t distributions via the sinh-arcsinh transformation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Boshnakov, Georgi N., 2007. "Some measures for asymmetry of distributions," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1111-1116, June.
- M. C. Jones & M. J. Faddy, 2003. "A skew extension of the "t"-distribution, with applications," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 159-174.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Frank Critchley & M. C. Jones, 2008. "Asymmetry and Gradient Asymmetry Functions: Density-Based Skewness and Kurtosis," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 415-437.
- Adelchi Azzalini & Marc G. Genton, 2008. "Robust Likelihood Methods Based on the Skew-"t" and Related Distributions," International Statistical Review, International Statistical Institute, vol. 76(1), pages 106-129, April.
- M.C. Jones, 2007. "Connecting Distributions with Power Tails on the Real Line, the Half Line and the Interval," International Statistical Review, International Statistical Institute, vol. 75(1), pages 58-69, April.
- Branco, Márcia D. & Dey, Dipak K., 2001. "A General Class of Multivariate Skew-Elliptical Distributions," Journal of Multivariate Analysis, Elsevier, vol. 79(1), pages 99-113, October.
- Hansen, Bruce E, 1994.
"Autoregressive Conditional Density Estimation,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
- Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
- Tom Doan, "undated". "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Yanyuan Ma & Marc G. Genton, 2004. "Flexible Class of Skew-Symmetric Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 31(3), pages 459-468.
- Averous, J. & Fougères, A. -L. & Meste, M., 1996. "Tailweight with respect to the mode for unimodal distributions," Statistics & Probability Letters, Elsevier, vol. 28(4), pages 367-373, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jones, M.C., 2012. "Relationships between distributions with certain symmetries," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1737-1744.
- Arthur Pewsey & Toshihiro Abe, 2015. "The sinh-arcsinhed logistic family of distributions: properties and inference," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(3), pages 573-594, June.
More about this item
KeywordsAzzalini-type distributions; Heavy tails; Quantile-based measures; Student’s t distribution; Skewness; Two-piece distributions; 60E05; 62F12; 62F25;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:testjl:v:20:y:2011:i:3:p:630-652. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.