Skewness by splitting the scale parameter

Ingo Klein and Matthias J. Fischer

No 55/2003, Discussion Papers from Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics

Abstract: There are several possibilities to introduce skewness into a symmetric distribution. One of these procedures applies two dfferent parameters of scale - with possibly different weights - to the positive and the negative part of a symmetric density. Within this work we show that this technique incorporates a well-defined parameter of skewness, i.e. that the generated distributions are skewed to the right (left) if the parameter of skewness takes values less (greater) than one. Secondly, we prove that the skewness parameter is compatible with the skewness ordering of van Zwet (1964) which is the strongest ordering in the hierarchy of orderings discussed by Oja (1981). Hence, the generated (skewed) distributions can be ordered by the skewness parameter.

Keywords: Skewness; skewness to the right; skewness ordering; score function. (search for similar items in EconPapers)
Date: 2003
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