A Constructive Representation of Univariate Skewed Distributions

Jose Tome Ferreira () and Mark Steel ()

Econometrics from EconWPA

Abstract: We introduce a general perspective on the introduction of skewness into symmetric distributions. Making use of inverse probability integral transformations we provide a constructive representation of skewed distributions, where the skewing mechanism and the original symmetric distributions are specified separately. We study the effects of the skewing mechanism on \emph{e.g.} modality, tail behaviour and the amount of skewness generated. In light of the constructive representation, we review a number of characteristics of three classes of skew distributions previously defined in the literature. The representation is also used to introduce two novel classes of skewed distributions. Finally, we incorporate the different classes of distributions into a Bayesian linear regression framework and analyse their differences and similarities.

Keywords: Arnold and Groeneveld skewness measure; Bayesian regression model; inverse probability integral transformation; modality; skewing mechanism; tail behaviour (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2004-03-08
Note: Type of Document - pdf; prepared on WinXP; pages: 25
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http://129.3.20.41/eps/em/papers/0403/0403002.pdf (application/pdf)

Related works:
Journal Article: A Constructive Representation of Univariate Skewed Distributions (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0403002

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