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
收藏
页码：437 / 443
页数：7
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