The Skew Generalized Secant Hyperbolic Family

被引：0

作者：

Fischer, Matthias ^{[1
]}

机构：

[1] Dept Stat & Econometr, Erlangen, Germany

来源：

AUSTRIAN JOURNAL OF STATISTICS | 2006年 / 35卷 / 04期

关键词：

Hyperbolic Secant Distribution; Skewness; Esscher Transformation;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We introduce a skewness parameter into Vaughan's (2002) generalized secant hyperbolic (GSH) distribution by means of exponential tilting and develop some properties of the new distribution family. In particular, the moment-generating function is derived which ensures the existence of all moments. Finally, the flexibility of our distribution is compared to similar parametric models by means of moment-ratio plots and application to foreign exchange rate data.

引用

页码：437 / 443

页数：7

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