Generalized modified slash distribution with applications
Inmaculada Barranco-Chamorro and
Héctor W. Gómez
Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 8, 2025-2048
In this article a generalization of the modified slash distribution is introduced. This model is based on the quotient of two independent random variables, whose distributions are a normal and a one-parameter gamma, respectively. The resulting distribution is a new model whose kurtosis is greater than other slash distributions. The probability density function, its properties, moments, and kurtosis coefficient are obtained. Inference based on moment and maximum likelihood methods is carried out. The multivariate version is also introduced. Two real data sets are considered in which it is shown that the new model fits better to symmetric data with heavy tails than other slash extensions previously introduced in literature.
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:49:y:2020:i:8:p:2025-2048
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