On the Marshall–Olkin transformation as a skewing mechanism

F.J. Rubio and Mark Steel

Computational Statistics & Data Analysis, 2012, vol. 56, issue 7, 2251-2257

Abstract: The use of the Marshall–Olkin transformation as a skewing mechanism is investigated. The distributions obtained when this transformation is applied to several classes of symmetric and unimodal distributions are analysed. It is shown that most of the resulting distributions are not flexible enough to model data presenting high or moderate skewness. The only case encountered where the Marshall–Olkin transformation can be considered a useful skewing mechanism is when applied to Student-t distributions with Cauchy or even heavier tails.

Keywords: Moment; Skewness measure; Student-t; Tail behaviour (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:7:p:2251-2257

DOI: 10.1016/j.csda.2012.01.003

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