The Skew Generalized Secant Hyperbolic Family
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. Fi...
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| Format: | Article |
| Language: | English |
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Austrian Statistical Society
2016-04-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/353 |
| _version_ | 1819279752278573056 |
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| author | Matthias Fischer |
| author_facet | Matthias Fischer |
| author_sort | Matthias Fischer |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-24T00:32:54Z |
| format | Article |
| id | doaj.art-007ab428f9df40e39ffc00490fac0016 |
| institution | Directory Open Access Journal |
| issn | 1026-597X |
| language | English |
| last_indexed | 2024-12-24T00:32:54Z |
| publishDate | 2016-04-01 |
| publisher | Austrian Statistical Society |
| record_format | Article |
| series | Austrian Journal of Statistics |
| spelling | doaj.art-007ab428f9df40e39ffc00490fac00162022-12-21T17:24:11ZengAustrian Statistical SocietyAustrian Journal of Statistics1026-597X2016-04-0135410.17713/ajs.v35i4.353The Skew Generalized Secant Hyperbolic FamilyMatthias Fischer0Department of Statistics and Econometrics, Erlangen-NürnbergWe 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.http://www.ajs.or.at/index.php/ajs/article/view/353 |
| spellingShingle | Matthias Fischer The Skew Generalized Secant Hyperbolic Family Austrian Journal of Statistics |
| title | The Skew Generalized Secant Hyperbolic Family |
| title_full | The Skew Generalized Secant Hyperbolic Family |
| title_fullStr | The Skew Generalized Secant Hyperbolic Family |
| title_full_unstemmed | The Skew Generalized Secant Hyperbolic Family |
| title_short | The Skew Generalized Secant Hyperbolic Family |
| title_sort | skew generalized secant hyperbolic family |
| url | http://www.ajs.or.at/index.php/ajs/article/view/353 |
| work_keys_str_mv | AT matthiasfischer theskewgeneralizedsecanthyperbolicfamily AT matthiasfischer skewgeneralizedsecanthyperbolicfamily |