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On modelling asymmetric data using two-piece sinh–arcsinh distributions

Rubio, FJ; Ogundimu, EO; Hutton, JL; (2016) On modelling asymmetric data using two-piece sinh–arcsinh distributions. Brazilian Journal of Probability and Statistics , 30 (3) pp. 485-501. 10.1214/15-bjps290. Green open access

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Abstract

We introduce the univariate two-piece sinh–arcsinh distribution, which contains two shape parameters that separately control skewness and kurtosis. We show that this new model can capture higher levels of asymmetry than the original sinh–arcsinh distribution [Biometrika 96 (2009) 761–780], in terms of some asymmetry measures, while keeping flexibility of the tails and tractability. We illustrate the performance of the proposed model with real data, and compare it to appropriate alternatives. Although we focus on the study of the univariate versions of the proposed distributions, we point out some multivariate extensions.

Type: Article
Title: On modelling asymmetric data using two-piece sinh–arcsinh distributions
Open access status: An open access version is available from UCL Discovery
DOI: 10.1214/15-bjps290
Publisher version: http://dx.doi.org/10.1214/15-bjps290
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
URI: https://discovery.ucl.ac.uk/id/eprint/10126584
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