School of Mathematical Sciences

Modelling of skewness and kurtosis with double two-piece distributions menu

Modelling of skewness and kurtosis with double two-piece distributions

Speaker: 
Javier Rubio, Department of Statistics, The University of Warwick
Date/Time: 
Thu, 30/01/2014 - 16:30
Room: 
M103
Seminar series: 

In this talk, I will present a brief summary of several classes of univariate flexible distributions employed to model skewness and kurtosis. We will discuss a simple classication of these distributions in terms of their tail behaviour. This classication motivates the introduction of a new family of distributions (double two{piece distributions), which is obtained by using a transformation dened on the family of uni-modal symmetric continuous distributions containing a shape parameter. The proposed distributions contain five interpretable parameters that control the mode, as well as the scale and shape in each direction. Four-parameter subfamilies of this class of transformations are also discussed. It is also presented an interpretable scale and location invariant benchmark prior as well as conditions for the existence of the corresponding posterior distribution. Finally, the use of this sort of models is illustrated with a real data example.