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Creating new distributions by blunting cusps

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  • Baker, Rose

Abstract

A simple method is proposed for ‘blunting’ cusped distributions, i.e. removing the cusp. No additional parameters are required. The method is applied to the asymmetric Laplace distribution, to the van Dorp and Kotz double-sided power distribution, and to the double-sided asymmetric Pareto distribution, and some properties of the blunted distributions are derived. An example of fitting the blunted asymmetric Pareto distribution to data is given.

Suggested Citation

  • Baker, Rose, 2017. "Creating new distributions by blunting cusps," Statistics & Probability Letters, Elsevier, vol. 124(C), pages 55-63.
    • Handle: RePEc:eee:stapro:v:124:y:2017:i:c:p:55-63
    DOI: 10.1016/j.spl.2017.01.003
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    References listed on IDEAS

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    1. Zhu, Dongming & Galbraith, John W., 2010. "A generalized asymmetric Student-t distribution with application to financial econometrics," Journal of Econometrics, Elsevier, vol. 157(2), pages 297-305, August.
    2. Hinkley, David V. & Revankar, Nagesh S., 1977. "Estimation of the Pareto law from underreported data : A further analysis," Journal of Econometrics, Elsevier, vol. 5(1), pages 1-11, January.
    3. Zhu, Dongming & Galbraith, John W., 2011. "Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 765-778, September.
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