A New Family of Modified Slash Distributions with Applications

Jimmy Reyes and Yuri A. Iriarte ()
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Jimmy Reyes: Departamento de Estadística y Ciencia de Datos, Facultad de Ciencias Básicas, Universidad de Antofagasta, Antofagasta 1240000, Chile
Yuri A. Iriarte: Departamento de Estadística y Ciencia de Datos, Facultad de Ciencias Básicas, Universidad de Antofagasta, Antofagasta 1240000, Chile

Mathematics, 2023, vol. 11, issue 13, 1-15

Abstract: This article presents a new family of symmetric heavy-tailed distributions. This model is based on the ratio of two independent random variables; one with a normal distribution in the numerator and another with a Birnbaum–Saunders distribution in the denominator. The result is a new slash-like distribution capable of modeling high levels of kurtosis, so it can be considered as a viable alternative to other heavy-tailed distributions in the literature. Fundamental properties such as density and raw moments are derived. Parameter estimation is performed using the moment and maximum likelihood methods. A simulation study to evaluate the behavior of the estimators is carried out. Finally, the utility of the new distribution is illustrated by fitting two real datasets.

Keywords: Birnbaum–Saunders distribution; kurtosis; maximum likelihood; modified slash distribution; moments; slash distribution (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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