Inferential Aspects of the Skew Exponential Power Distribution

By Thomas J. DiCiccio, Anna Clara Monti. 2004

137 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b23784f8bfdcf13aac9196691ab93011ee4678b0

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In Statistics and Probability

Citations in the corpus

Using the Box-Cox t distribution in GAMLSS to model skewness and kurtosis (2006, unknown): “Models 7–10 and 13 have distributions allowing the modelling of both skewness and kurtosis: Johnson’s Su (JSU) (Johnson, 1949), ST (Jones and Faddy, 2003), skew exponential power (SEP) (Azzalini, 1986; DiCiccio and Monti, 2004), BCT and Box–Cox power exponential (BCPE) (Rigby and Stasinopoulos, 2004”
The Skew‐normal Distribution and Related Multivariate Families * (2005, methodology): “DiCiccio & Monti (2004) provide some illustrative applications of the methodology in some regression and time-series problems when robustness issues arise.”
Skew-symmetric distributions and Fisher information -- a tale of two densities (2012, background): “The same result is shown to hold true for two classes of scalar skew-t distributions by Gómez et al. [16] and DiCiccio and Monti [13].”
An alternative multivariate skew Laplace distribution: properties and estimation (2010, methodology): “The same dataset was considered by Lye and Martin (1993), Jones (2001), Azzalini and Capitanio (2003), DiCiccio and Monti (2004) , and Arslan and Genc (2008).”
Properties and Estimation of Asymmetric Exponential Power Distribution (2007, background): “In addition, note that DiCiccio and Monti (2004) were not able to provide closed form expressions for the information matrix (nor complete proofs of asymptotics for MLE) for Azzalini s (1986) SEPD.”
Bimodal extension based on the skew‐normal distribution with application to pollen data (2011, background): “Henze (1986) develops a stochastic representation for this density and derives its odd moments.”
A new class of asymmetric exponential power densities with applications to economics and finance (2011, methodology): “We compare the AEP with the SEP, the -Stable family, and the Generalized Hyperbolic (GHYP) estimating their parameters via ML procedures [for parametrization and details on the SEP, the -Stable, and on the GHYP see DiCiccio and Monti (2004), Nolan (1998) and McNeil et al.”
A unified view on skewed distributions arising from selections (2006, background): “It is currently the subject of vigorous research efforts and recent advances on this topic include work by Azzalini (2005), Azzalini & Capitanio (1999, 2003), DiCiccio & Monti (2004), Ma, Genton & Tsiatis (2005), Ma & Hart (2006), Pewsey (2000, 2006), and Sartori (2006).”
The centred parametrization for the multivariate skew-normal distribution (2008, methodology): “Special attention has been paid to the skew-t distribution and the skew-exponential power distribution, whose statistical aspects have been studied by Azzalini and Capitanio [7], DiCiccio and Monti [12] and Azzalini and Genton [9].”
Robust Likelihood Methods Based on the Skew‐t and Related Distributions (2008, background): “DiCiccio & Monti (2004) have recently investigated likelihood inference for the univariate SEP2 distribution, with only a slight change in the parameterization.”