An extension of the slash-elliptical distribution
Rojas, Mario A. (Universidad de Antofagasta (Antofagasta, Xile). Departamento de Matematicas)
Bolfarine, Heleno (Universidad de Sao Paulo. Departamento de Estatística)
Gómez, Héctor W. (Universidad de Antofagasta (Antofagasta, Xile). Departamento de Matematicas)

Date: 2014
Abstract: This paper introduces an extension of the slash-elliptical distribution. This new distribution is generated as the quotient between two independent random variables, one from the elliptical family (numerator) and the other (denominator) a beta distribution. The resulting slash-elliptical distribution potentially has a larger kurtosis coefficient than the ordinary slash-elliptical distribution. We investigate properties of this distribution such as moments and closed expressions for the density function. Moreover, an extension is proposed for the location scale situation. Likelihood equations are derived for this more general version. Results of a real data application reveal that the proposed model performs well, so that it is a viable alternative to replace models with lesser kurtosis flexibility. We also propose a multivariate extension.
Rights: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. Creative Commons
Language: Anglès.
Document: article ; recerca ; publishedVersion
Subject: Slash distribution ; Elliptical distribution ; Kurtosis
Published in: SORT : statistics and operations research transactions, Vol. 38 Núm. 2 (July-December 2014) , p. 215-230, ISSN 1696-2281

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 Record created 2015-01-14, last modified 2019-04-25

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