A general measure of skewness

Magnus Ekström and Sreenivasa Rao Jammalamadaka

Statistics & Probability Letters, 2012, vol. 82, issue 8, 1559-1568

Abstract: A very general measure of skewness based on the quantiles is introduced, which includes several well-known measures as special cases. Sample versions of our measure may be used as test statistics for testing the hypothesis of symmetry about an unknown value. We provide large sample theory for such a statistic and discuss the asymptotic relative efficiencies of this against some competing test statistics for symmetry.

Keywords: Measure of skewness; Bowley’s coefficient of skewness; Test of symmetry; Large sample theory; Asymptotic relative efficiency (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2012.04.011

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