Family of multivariate extended skew-elliptical distributions: Statistical properties, inference and application
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arXiv
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| Autori principali: | , , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Soggetti: | |
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| _version_ | 1866910584674451456 |
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| author | Vila, Roberto Saulo, Helton Santos, Leonardo Monteiros, João Quintino, Felipe |
| author_facet | Vila, Roberto Saulo, Helton Santos, Leonardo Monteiros, João Quintino, Felipe |
| contents | In this paper we propose a family of multivariate asymmetric distributions over an arbitrary subset of set of real numbers which is defined in terms of the well-known elliptically symmetric distributions. We explore essential properties, including the characterization of the density function for various distribution types, as well as other key aspects such as identifiability, quantiles, stochastic representation, conditional and marginal distributions, moments, Kullback-Leibler Divergence, and parameter estimation. A Monte Carlo simulation study is performed for examining the performance of the developed parameter estimation method. Finally, the proposed models are used to analyze socioeconomic data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_17410 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Family of multivariate extended skew-elliptical distributions: Statistical properties, inference and application Vila, Roberto Saulo, Helton Santos, Leonardo Monteiros, João Quintino, Felipe Methodology 60E05, 62Exx, 62Fxx In this paper we propose a family of multivariate asymmetric distributions over an arbitrary subset of set of real numbers which is defined in terms of the well-known elliptically symmetric distributions. We explore essential properties, including the characterization of the density function for various distribution types, as well as other key aspects such as identifiability, quantiles, stochastic representation, conditional and marginal distributions, moments, Kullback-Leibler Divergence, and parameter estimation. A Monte Carlo simulation study is performed for examining the performance of the developed parameter estimation method. Finally, the proposed models are used to analyze socioeconomic data. |
| title | Family of multivariate extended skew-elliptical distributions: Statistical properties, inference and application |
| topic | Methodology 60E05, 62Exx, 62Fxx |
| url | https://arxiv.org/abs/2408.17410 |