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On the Characteristic Function for Asymmetric Exponential Power Distributions

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  • Saralees Nadarajah
  • Mahdi Teimouri

Abstract

The econometric literature has seen a surge of developments in the theory and applications of asymmetric exponential power distributions (AEPDs). Here, for the first time, we derive explicit closed form expressions for the characteristic function of AEPDs. The expressions involve the complex parameter Wright generalized hypergeometric function.

Suggested Citation

  • Saralees Nadarajah & Mahdi Teimouri, 2012. "On the Characteristic Function for Asymmetric Exponential Power Distributions," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 475-481.
    • Handle: RePEc:taf:emetrv:v:31:y:2012:i:4:p:475-481
    DOI: 10.1080/07474938.2011.608000
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    Cited by:

    1. Matthias Wagener & Andriette Bekker & Mohammad Arashi, 2021. "Mastering the Body and Tail Shape of a Distribution," Mathematics, MDPI, vol. 9(21), pages 1-22, October.
    2. Asquith, William H., 2014. "Parameter estimation for the 4-parameter Asymmetric Exponential Power distribution by the method of L-moments using R," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 955-970.
    3. Nadarajah, Saralees & Chan, Stephen & Afuecheta, Emmanuel, 2013. "On the characteristic function for asymmetric Student t distributions," Economics Letters, Elsevier, vol. 121(2), pages 271-274.
    4. A. T. Soyinka & A. A. Olosunde, 2021. "Inferences from Asymmetric Multivariate Exponential Power Distribution," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 350-370, November.

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