Autori
Tong, Howell
Li, Dong

Titolo
On an Absolute Autoregressive Model and Skew Symmetric Distributions
Periodico
Statistica
Anno: 2020 - Volume: 80 - Fascicolo: 2 - Pagina iniziale: 177 - Pagina finale: 198

By exploiting the connection between a popular construction of a well-known skew-normal distribution and an absolute autoregressive process, we show how the stochastic process approach can lead to other skew symmetric distributions, including a skew-Cauchy distribution and some singular distributions. In so doing, we also correct an erroneous skew-Cauchy-distribution in the literature. We discuss the estimation, for dependent data, of the key parameter relating to the skewness.



SICI: 0390-590X(2020)80:2<177:OAAAMA>2.0.ZU;2-7

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