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Activity Number:
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26
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Type:
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Contributed
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Date/Time:
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Sunday, July 29, 2007 : 2:00 PM to 3:50 PM
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Sponsor:
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General Methodology
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| Abstract - #309667 |
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Title:
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The Skew Generalized Secant Hyperbolic Distribution and Its Properties
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Author(s):
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David Vaughan*+
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Companies:
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Wilfrid Laurier University
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Address:
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75 University Avenue West, Waterloo, ON, N2L 3C5, Canada
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Keywords:
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generalized secant hyperbolic ; skewness ; model selection
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Abstract:
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Empirical studies, especially in finance, have shown that skew error distributions (typically with non-normal kurtosis) are common. The Generalized Secant Hyperbolic (GSH) is a symmetric class of distributions that has all moments finite (in contrast to Student's t), and with kurtosis ranging across all regular unimodal distributions. In this paper, skewness is introduced to the GSH in a natural way. Fundamental properties of the Skew Generalized Secant Hyperbolic (SGSH) and some basic model selection methods are discussed. This approach is contrasted with other methods for introducing skewness to symmetric distributions.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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