Abstract:
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We study a general family of asymmetric densities. Within this family, we derive the expressions for important characteristics of the distributions (such as quantile function, moments, skewness, kurtosis) and discuss the estimation of the parameters via method-of-moments as well as maximum likelihood estimation. We apply the results on some specific examples of asymmetric densities (asymmetric normal, students-t, Laplace, logistic). The use of the asymmetric densities is illustrated in a data analysis.
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