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Skewed distributions generated by the Student's t kernel
Published/Copyright:
February 13, 2008
Abstract
Following the recent paper by A. K. Gupta, F.-C. Chang and W. J. Huang [Some skew-symmetric models. Random Operators and Stochastic Equations10 (2002), 133–140], we construct skew pdfs of the form 2f(u)G(λu), where f is taken to be a Student's t pdf while the cdf G is taken to come from one of normal, Student's t, Cauchy, Laplace, logistic or uniform distribution. The properties of the resulting distributions are studied. In particular, expressions for the nth moment and the characteristic function are derived. We also provide graphical illustrations and quantifications of the range of possible values of skewness and kurtosis.
Received: 2007-04-07
Revised: 2007-09-25
Published Online: 2008-02-13
Published in Print: 2008-01
© de Gruyter 2007
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- Skewed distributions generated by the Student's t kernel
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Keywords for this article
Characteristic function;
moments;
Student's t distribution;
skewed distributions
Articles in the same Issue
- The weighted variance minimization for options pricing
- A quasilinear stochastic partial differential equation driven by fractional white noise
- A quasi-stochastic simulation of the general dynamics equation for aerosols
- Skewed distributions generated by the Student's t kernel
- Expansion of random boundary excitations for elliptic PDEs
- Monte Carlo estimators for small sensitivity indices
- A use of algorithms for numerical modeling of order statistics
