Skewed distributions generated by the Student's t kernel

Nadarajah Saralees

Monte Carlo Methods and Applications, 2008, vol. 13, issue 5-6, 389-404

Abstract: Following the recent paper by A. K. Gupta, F.-C. Chang and W. J. Huang [Some skew-symmetric models. Random Operators and Stochastic Equations10 (2002), 133–140], we construct skew pdfs of the form 2f(u)G(λu), where f is taken to be a Student's t pdf while the cdf G is taken to come from one of normal, Student's t, Cauchy, Laplace, logistic or uniform distribution. The properties of the resulting distributions are studied. In particular, expressions for the nth moment and the characteristic function are derived. We also provide graphical illustrations and quantifications of the range of possible values of skewness and kurtosis.

Keywords: Characteristic function; moments; Student's t distribution; skewed distributions (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/mcma.2007.021 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:mcmeap:v:13:y:2008:i:5-6:p:389-404:n:4

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/mcma/html

DOI: 10.1515/mcma.2007.021

Access Statistics for this article

Monte Carlo Methods and Applications is currently edited by Karl K. Sabelfeld

More articles in Monte Carlo Methods and Applications from De Gruyter
Bibliographic data for series maintained by Peter Golla ().