On Quantile‐based Asymmetric Family of Distributions: Properties and Inference

Irène Gijbels, Rezaul Karim and Anneleen Verhasselt

International Statistical Review, 2019, vol. 87, issue 3, 471-504

Abstract: In this paper, we provide a detailed study of a general family of asymmetric densities. In the general framework, we establish expressions for important characteristics of the distributions and discuss estimation of the parameters via method‐of‐moments as well as maximum likelihood estimation. Asymptotic normality results for the estimators are provided. The results under the general framework are then applied to some specific examples of asymmetric densities. The use of the asymmetric densities is illustrated in a real‐data analysis.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:bla:istatr:v:87:y:2019:i:3:p:471-504

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