Flexible Class of Skew‐Symmetric Distributions

Yanyuan Ma and Marc G. Genton

Scandinavian Journal of Statistics, 2004, vol. 31, issue 3, 459-468

Abstract: Abstract. We propose a flexible class of skew‐symmetric distributions for which the probability density function has the form of a product of a symmetric density and a skewing function. By constructing an enumerable dense subset of skewing functions on a compact set, we are able to consider a family of distributions, which can capture skewness, heavy tails and multimodality systematically. We present three illustrative examples for the fibreglass data, the simulated data from a mixture of two normal distributions and the Swiss bills data.

Date: 2004
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