IDEAS home Printed from https://ideas.repec.org/a/spr/testjl/v24y2015i1p110-135.html
   My bibliography  Save this article

A semiparametric approach for joint modeling of median and skewness

Author

Listed:
  • Luis Vanegas
  • Gilberto Paula

Abstract

We motivate this paper by showing through Monte Carlo simulation that ignoring the skewness of the response variable distribution in non-linear regression models may introduce biases on the parameter estimates and/or on the estimation of the associated variability measures. Then, we propose a semiparametric regression model suitable for data set analysis in which the distribution of the response is strictly positive and asymmetric. In this setup, both median and skewness of the response variable distribution are explicitly modeled, the median using a parametric non-linear function and the skewness using a semiparametric function. The proposed model allows for the description of the response using the log-symmetric distribution, which is a generalization of the log-normal distribution and is flexible enough to consider bimodal distributions in special cases as well as distributions having heavier or lighter tails than those of the log-normal one. An iterative estimation process as well as some diagnostic methods are derived. Two data sets previously analyzed under parametric models are reanalyzed using the proposed methodology. Copyright Sociedad de Estadística e Investigación Operativa 2015

Suggested Citation

  • Luis Vanegas & Gilberto Paula, 2015. "A semiparametric approach for joint modeling of median and skewness," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(1), pages 110-135, March.
    • Handle: RePEc:spr:testjl:v:24:y:2015:i:1:p:110-135
    DOI: 10.1007/s11749-014-0401-7
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11749-014-0401-7
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s11749-014-0401-7?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    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. Gilberto A. Paula & Víctor Leiva & Michelli Barros & Shuangzhe Liu, 2012. "Robust statistical modeling using the Birnbaum‐Saunders‐t distribution applied to insurance," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 28(1), pages 16-34, January.
    2. Germán Ibacache-Pulgar & Gilberto Paula & Francisco Cysneiros, 2013. "Semiparametric additive models under symmetric distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(1), pages 103-121, March.
    3. Vicente Cancho & Víctor Lachos & Edwin Ortega, 2010. "A nonlinear regression model with skew-normal errors," Statistical Papers, Springer, vol. 51(3), pages 547-558, September.
    4. Lemonte, Artur J. & Cordeiro, Gauss M., 2009. "Birnbaum-Saunders nonlinear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4441-4452, October.
    5. W.‐Y. Poon & Y. S. Poon, 1999. "Conformal normal curvature and assessment of local influence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 51-61.
    6. R. A. Rigby & D. M. Stasinopoulos, 2005. "Generalized additive models for location, scale and shape," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 54(3), pages 507-554, June.
    7. Stasinopoulos, D. Mikis & Rigby, Robert A., 2007. "Generalized Additive Models for Location Scale and Shape (GAMLSS) in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 23(i07).
    8. Cysneiros, Francisco José A. & Paula, Gilberto A. & Galea, Manuel, 2007. "Heteroscedastic symmetrical linear models," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1084-1090, June.
    9. Lachos, Victor H. & Bandyopadhyay, Dipankar & Garay, Aldo M., 2011. "Heteroscedastic nonlinear regression models based on scale mixtures of skew-normal distributions," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1208-1217, August.
    10. Villegas, Cristian & Paula, Gilberto A. & Cysneiros, Francisco José A. & Galea, Manuel, 2013. "Influence diagnostics in generalized symmetric linear models," Computational Statistics & Data Analysis, Elsevier, vol. 59(C), pages 161-170.
    11. Cysneiros, Francisco José A. & Vanegas, Luis Hernando, 2008. "Residuals and their statistical properties in symmetrical nonlinear models," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3269-3273, December.
    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. Danúbia R. Cunha & Jose Angelo Divino & Helton Saulo, 2022. "On a log-symmetric quantile tobit model applied to female labor supply data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 49(16), pages 4225-4253, December.
    2. Helton Saulo & Alan Dasilva & Víctor Leiva & Luis Sánchez & Hanns de la Fuente‐Mella, 2022. "Log‐symmetric quantile regression models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 76(2), pages 124-163, May.
    3. Helton Saulo & Jeremias Leão, 2017. "On log-symmetric duration models applied to high frequency financial data," Economics Bulletin, AccessEcon, vol. 37(2), pages 1089-1097.
    4. Danúbia R. Cunha & Jose Angelo Divino & Helton Saulo, 2024. "Zero-Adjusted Log-Symmetric Quantile Regression Models," Computational Economics, Springer;Society for Computational Economics, vol. 63(5), pages 2087-2111, May.
    5. Silvia L. P. Ferrari & Giovana Fumes, 2017. "Box–Cox symmetric distributions and applications to nutritional data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(3), pages 321-344, July.
    6. Raúl Alejandro Morán-Vásquez & Anlly Daniela Giraldo-Melo & Mauricio A. Mazo-Lopera, 2023. "Quantile Estimation Using the Log-Skew-Normal Linear Regression Model with Application to Children’s Weight Data," Mathematics, MDPI, vol. 11(17), pages 1-10, August.

    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. Carlos Eduardo M. Relvas & Gilberto A. Paula, 2016. "Partially linear models with first-order autoregressive symmetric errors," Statistical Papers, Springer, vol. 57(3), pages 795-825, September.
    2. Luis Hernando Vanegas & Gilberto A. Paula, 2017. "Log-symmetric regression models under the presence of non-informative left- or right-censored observations," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 405-428, June.
    3. Ibacache-Pulgar, Germán & Paula, Gilberto A., 2011. "Local influence for Student-t partially linear models," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1462-1478, March.
    4. Germán Ibacache-Pulgar & Gilberto Paula & Francisco Cysneiros, 2013. "Semiparametric additive models under symmetric distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(1), pages 103-121, March.
    5. Nicole Jeldes & Germán Ibacache-Pulgar & Carolina Marchant & Javier Linkolk López-Gonzales, 2022. "Modeling Air Pollution Using Partially Varying Coefficient Models with Heavy Tails," Mathematics, MDPI, vol. 10(19), pages 1-24, October.
    6. Elton G. Aráujo & Julio C. S. Vasconcelos & Denize P. Santos & Edwin M. M. Ortega & Dalton Souza & João P. F. Zanetoni, 2023. "The Zero-Inflated Negative Binomial Semiparametric Regression Model: Application to Number of Failing Grades Data," Annals of Data Science, Springer, vol. 10(4), pages 991-1006, August.
    7. Alejandra Tapia & Victor Leiva & Maria del Pilar Diaz & Viviana Giampaoli, 2019. "Influence diagnostics in mixed effects logistic regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(3), pages 920-942, September.
    8. Yixuan Wang & Jianzhu Li & Ping Feng & Rong Hu, 2015. "A Time-Dependent Drought Index for Non-Stationary Precipitation Series," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 29(15), pages 5631-5647, December.
    9. Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrand, Jean-Pierre, 2018. "Designating market maker behaviour in limit order book markets," Econometrics and Statistics, Elsevier, vol. 5(C), pages 20-44.
    10. Gauss Cordeiro & Josemar Rodrigues & Mário Castro, 2012. "The exponential COM-Poisson distribution," Statistical Papers, Springer, vol. 53(3), pages 653-664, August.
    11. Christian Kleiber & Achim Zeileis, 2016. "Visualizing Count Data Regressions Using Rootograms," The American Statistician, Taylor & Francis Journals, vol. 70(3), pages 296-303, July.
    12. Matteo Malavasi & Gareth W. Peters & Pavel V. Shevchenko & Stefan Truck & Jiwook Jang & Georgy Sofronov, 2021. "Cyber Risk Frequency, Severity and Insurance Viability," Papers 2111.03366, arXiv.org, revised Mar 2022.
    13. Tong, Edward N.C. & Mues, Christophe & Thomas, Lyn, 2013. "A zero-adjusted gamma model for mortgage loan loss given default," International Journal of Forecasting, Elsevier, vol. 29(4), pages 548-562.
    14. D. Chiru Naik & Sagar Rohidas Chavan & P. Sonali, 2023. "Incorporating the climate oscillations in the computation of meteorological drought over India," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 117(3), pages 2617-2646, July.
    15. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
    16. I. Gijbels & I. Prosdocimi & G. Claeskens, 2010. "Nonparametric estimation of mean and dispersion functions in extended generalized linear models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(3), pages 580-608, November.
    17. Groll, Andreas & Hambuckers, Julien & Kneib, Thomas & Umlauf, Nikolaus, 2019. "LASSO-type penalization in the framework of generalized additive models for location, scale and shape," Computational Statistics & Data Analysis, Elsevier, vol. 140(C), pages 59-73.
    18. Westgate, Bradford S. & Woodard, Dawn B. & Matteson, David S. & Henderson, Shane G., 2016. "Large-network travel time distribution estimation for ambulances," European Journal of Operational Research, Elsevier, vol. 252(1), pages 322-333.
    19. Angelica Gianfreda & Derek Bunn, 2018. "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series BEMPS46, Faculty of Economics and Management at the Free University of Bozen.
    20. Komlos, John & Brabec, Marek, 2011. "The trend of BMI values of US adults by deciles, birth cohorts 1882-1986 stratified by gender and ethnicity," Economics & Human Biology, Elsevier, vol. 9(3), pages 234-250, July.

    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:spr:testjl:v:24:y:2015:i:1:p:110-135. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    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.