ON AN ABSOLUTE AUTOREGRESSIVE MODEL AND SKEW SYMMETRIC DISTRIBUTIONS

Dong Li () and Howell Tong ()
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Dong Li: Tsinghua University
Howell Tong: University of Electronic Science and Technology of China

Statistica, 2020, vol. 80, issue 2, 177-198

Abstract: 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.

Keywords: Absolute autoregressive process; Estimation of skewness parameter; Singular distributions; Skew-normal distribution; Skew-Cauchy distribution (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:bot:rivsta:v:80:y:2020:i:2:p:177-198

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