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Van Zwet ordering for Fechner asymmetry

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  • Klein, Ingo

Abstract

There are several procedures to construct a skewed distribution. One of these procedures splits the value of a parameter of scale for the two halfs of a symmetric distribution. Fechner proposed this procedure in his famous book Kollektivmaßlehre (1897), p. 295ff.. A similar proposal comes from Fernandez et al. (1995). We consider the very general approach from Arellano-Valle et al. (2005) of splitting a scale parameter and show that this technique of generating skewed distributions incorporates a well-defined parameter of skewness. It is well-defined in the sense that the parameter of skewness is compatible with the ordering

Suggested Citation

  • Klein, Ingo, 2011. "Van Zwet ordering for Fechner asymmetry," FAU Discussion Papers in Economics 08/2011, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    • Handle: RePEc:zbw:iwqwdp:082011
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    References listed on IDEAS

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    1. Panayiotis Theodossiou, 1998. "Financial Data and the Skewed Generalized T Distribution," Management Science, INFORMS, vol. 44(12-Part-1), pages 1650-1661, December.
    2. McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(3), pages 428-457, December.
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    Cited by:

    1. Klein, Ingo, 2011. "Van Zwet ordering and the Ferreira-Steel family of skewed distributions," FAU Discussion Papers in Economics 13/2011, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.

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    Keywords

    Skewness; skewness to the right; skewness ordering; measure of skewness;
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