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Too many skew normal distributions? The practitioner's perspective

Makarova, SB; Charemza, W; Diaz, C; (2013) Too many skew normal distributions? The practitioner's perspective. In: Computer data analysis and modeling: Theoretical & Applied Stochastics: Proceedings of the Tenth International Conference. (pp. 21 - 31). Belarusian State University: Minsk, Belarus . Green open access

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Abstract

The paper tackles the issue of possible misspecification in fitting skew normal distributions to empirical data. It is shown, through numerical experiments, that it is easy to choose a distribution which is different from this which actually generated the sample, if the minimum distance criterion is used. It is suggested that, in case of similar values of distance measures obtained for different distributions, the choice should be made on the grounds of parameters’ interpretation rather than the goodness of fit. This is supported by empirical evidence of fitting different skew normal distributions to the estimated monthly inflation uncertainties for Belarus, Poland, Russia and Ukraine.

Type: Proceedings paper
Title: Too many skew normal distributions? The practitioner's perspective
Event: 10th International Conference Computer Data Analysis & Modeling 2013
Location: Minsk, Belarus
Dates: September 10-14, 2013
ISBN-13: 9789855531372
Open access status: An open access version is available from UCL Discovery
Language: English
Additional information: © 2013 Belarusian State University
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > SSEES
URI: https://discovery.ucl.ac.uk/id/eprint/1408103
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