EconPapers    
Economics at your fingertips  
 

PROPERTIES AND ESTIMATION OF ASYMMETRIC EXPONENTIAL POWER DISTRIBUTION

Victoria Zinde-Walsh and Dongming Zhu ()

Departmental Working Papers from McGill University, Department of Economics

Abstract: The new distribution class, Asymmetric Exponential Power Distribution (AEPD), proposed in this paper generalizes the class of Skewed Exponential Power Distributions (SEPD) in a way that in addition to skewness introduces di¤erent decay rates of density in the left and right tails. Our parametrization provides an interpretable role for each parameter. We derive moments and moment-based measures: skewness, kurtosis, expected shortfall. It is demonstrated that a maximum entropy property holds for the AEPD distributions. We establish consistency, asymptotic normality and e¢ ciency of the maximum likelihood estimators over a large part of the parameter space by dealing with the problems created by non-smooth likelihood function and derive explicit analytical expressions of the asymptotic covariance matrix; where the results apply to the SEPD class they enlarge on the current literature. Finally, we give a convenient stochastic representation of the distribution; our Monte Carlo study illustrates the theoretical results.

JEL-codes: C13 C16 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2007-10
New Economics Papers: this item is included in nep-ecm
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.mcgill.ca/files/economics/propertiesandestimation.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://www.mcgill.ca/files/economics/propertiesandestimation.pdf [301 Moved Permanently]--> https://www.mcgill.ca/files/economics/propertiesandestimation.pdf)

Related works:
Journal Article: Properties and estimation of asymmetric exponential power distribution (2009) Downloads
Working Paper: Properties and Estimation of Asymmetric Exponential Power Distribution (2007) Downloads
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:mcl:mclwop:2007-11

Access Statistics for this paper

More papers in Departmental Working Papers from McGill University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Shama Rangwala ( this e-mail address is bad, please contact ).

 
Page updated 2021-01-25
Handle: RePEc:mcl:mclwop:2007-11