IDEAS home Printed from https://ideas.repec.org/a/bla/scjsta/v40y2013i3p471-490.html
   My bibliography  Save this article

Characteristic Function-based Semiparametric Inference for Skew-symmetric Models

Author

Listed:
  • CORNELIS J. POTGIETER
  • MARC G. GENTON

Abstract

No abstract is available for this item.

Suggested Citation

  • Cornelis J. Potgieter & Marc G. Genton, 2013. "Characteristic Function-based Semiparametric Inference for Skew-symmetric Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(3), pages 471-490, September.
    • Handle: RePEc:bla:scjsta:v:40:y:2013:i:3:p:471-490
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1467-9469.2012.00822.x
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Dinghai Xu & John Knight, 2011. "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Econometric Reviews, Taylor & Francis Journals, vol. 30(1), pages 25-50.
    2. Muneya Matsui & Akimichi Takemura, 2008. "Goodness-of-fit tests for symmetric stable distributions—Empirical characteristic function approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(3), pages 546-566, November.
    3. Adelchi Azzalini, 2005. "The Skew‐normal Distribution and Related Multivariate Families," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(2), pages 159-188, June.
    4. Yanyuan Ma & Marc G. Genton, 2004. "Flexible Class of Skew‐Symmetric Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 31(3), pages 459-468, September.
    5. Adelchi Azzalini & Marc G. Genton & Bruno Scarpa, 2010. "Invariance-based estimating equations for skew-symmetric distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 275-298.
    6. Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 93-123.
    7. Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol. 16(6), pages 797-834, December.
    8. Yanyuan Ma & Jeffrey D. Hart, 2007. "Constrained local likelihood estimators for semiparametric skew-normal distributions," Biometrika, Biometrika Trust, vol. 94(1), pages 119-134.
    9. Adelchi Azzalini & Marc G. Genton, 2008. "Robust Likelihood Methods Based on the Skew‐t and Related Distributions," International Statistical Review, International Statistical Institute, vol. 76(1), pages 106-129, April.
    10. Marc Genton & Nicola Loperfido, 2005. "Generalized skew-elliptical distributions and their quadratic forms," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(2), pages 389-401, June.
    11. Maria P. Braun & Simos G. Meintanis & Viatcheslav B. Melas, 2008. "Optimal Design Approach to GMM Estimation of Parameters Based on Empirical Transforms," International Statistical Review, International Statistical Institute, vol. 76(3), pages 387-400, December.
    12. A. Colin Cameron & Pravin K. Trivedi, 2010. "Microeconometrics Using Stata, Revised Edition," Stata Press books, StataCorp LP, number musr, March.
    13. Kim, Hyoung-Moon & Genton, Marc G., 2011. "Characteristic functions of scale mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(7), pages 1105-1117, August.
    14. A. Azzalini & A. Capitanio, 1999. "Statistical applications of the multivariate skew normal distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 579-602.
    15. Ma, Yanyuan & Genton, Marc G. & Tsiatis, Anastasios A., 2005. "Locally Efficient Semiparametric Estimators for Generalized Skew-Elliptical Distributions," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 980-989, September.
    16. Adelchi Azzalini & Antonella Capitanio, 2003. "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t‐distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 367-389, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Max Wornowizki & Roland Fried & Simos G. Meintanis, 2017. "Fourier methods for analyzing piecewise constant volatilities," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(3), pages 289-308, July.
    2. Cornelis J. Potgieter, 2020. "Density deconvolution for generalized skew-symmetric distributions," Journal of Statistical Distributions and Applications, Springer, vol. 7(1), pages 1-20, December.
    3. Linh H. Nghiem & Francis K. C. Hui & Samuel Müller & Alan H. Welsh, 2022. "Estimation of graphical models for skew continuous data," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(4), pages 1811-1841, December.
    4. Kim, SungBum & Kim, Hyoung-Moon, 2022. "Series form of the characteristic functions of scale mixtures of multivariate skew-normal distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 198(C), pages 172-187.
    5. Meintanis, Simos G. & Ushakov, Nikolai G., 2016. "Nonparametric probability weighted empirical characteristic function and applications," Statistics & Probability Letters, Elsevier, vol. 108(C), pages 52-61.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Azzalini, Adelchi, 2022. "An overview on the progeny of the skew-normal family— A personal perspective," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    2. Adelchi Azzalini & Marc G. Genton & Bruno Scarpa, 2010. "Invariance-based estimating equations for skew-symmetric distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 275-298.
    3. Ley, Christophe & Paindaveine, Davy, 2010. "On the singularity of multivariate skew-symmetric models," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1434-1444, July.
    4. Mondal, Sagnik & Genton, Marc G., 2024. "A multivariate skew-normal-Tukey-h distribution," Journal of Multivariate Analysis, Elsevier, vol. 200(C).
    5. Arellano-Valle, Reinaldo B. & Genton, Marc G. & Loschi, Rosangela H., 2009. "Shape mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 91-101, January.
    6. Zinoviy Landsman & Udi Makov & Tomer Shushi, 2017. "Extended Generalized Skew-Elliptical Distributions and their Moments," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 79(1), pages 76-100, February.
    7. Sharon Lee & Geoffrey McLachlan, 2013. "On mixtures of skew normal and skew $$t$$ -distributions," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 7(3), pages 241-266, September.
    8. Yin, Chuancun & Balakrishnan, Narayanaswamy, 2024. "Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
    9. Abe, Toshihiro & Fujisawa, Hironori & Kawashima, Takayuki & Ley, Christophe, 2021. "EM algorithm using overparameterization for the multivariate skew-normal distribution," Econometrics and Statistics, Elsevier, vol. 19(C), pages 151-168.
    10. Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2013. "The centred parameterization and related quantities of the skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 73-90.
    11. Jorge M. Arevalillo & Hilario Navarro, 2019. "A stochastic ordering based on the canonical transformation of skew-normal vectors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 475-498, June.
    12. Hok Shing Kwong & Saralees Nadarajah, 2022. "A New Robust Class of Skew Elliptical Distributions," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1669-1691, September.
    13. Giorgi, Emanuele & McNeil, Alexander J., 2016. "On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 205-220.
    14. M. C. Jones, 2015. "On Families of Distributions with Shape Parameters," International Statistical Review, International Statistical Institute, vol. 83(2), pages 175-192, August.
    15. Kahrari, F. & Rezaei, M. & Yousefzadeh, F. & Arellano-Valle, R.B., 2016. "On the multivariate skew-normal-Cauchy distribution," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 80-88.
    16. Seokho Lee & Marc G. Genton & Reinaldo B. Arellano-Valle, 2010. "Perturbation of Numerical Confidential Data via Skew-t Distributions," Management Science, INFORMS, vol. 56(2), pages 318-333, February.
    17. Tsung-I Lin & Pal Wu & Geoffrey McLachlan & Sharon Lee, 2015. "A robust factor analysis model using the restricted skew- $$t$$ t distribution," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(3), pages 510-531, September.
    18. Yulia V. Marchenko & Marc G. Genton, 2012. "A Heckman Selection- t Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(497), pages 304-317, March.
    19. Adcock, C.J., 2014. "Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution," European Journal of Operational Research, Elsevier, vol. 234(2), pages 392-401.
    20. Reinaldo B. Arellano-Valle & Marc G. Genton, 2010. "Multivariate extended skew-t distributions and related families," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 201-234.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:scjsta:v:40:y:2013:i:3:p:471-490. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.