Canadian Journal of Statistics · 2014 · 50 citations · 47 references
Natural SciencesBiostatisticsEconometricsFinancial EconometricsStatisticsEstimation TheoryInferential StatisticsNonparametric StatisticsRobust StatisticsStatistical AnalysisStatistical InferenceEfficient EstimationMarkov Chain Monte Carlo EstimationParametric Regression ModelsQuantile RegressionRobust RegressionSimulation StudiesStock Market Returns
Abstract This article proposes a generalized class of univariate skew distributions that are constructed through partitioning two scaled mixture of normal (Gaussian) distributions. The proposed distributions have a skewness parameter defined in the interval (0,1), allowing direct application to parametric quantile regression. Employing scale mixture of normals facilitates efficient estimation via Markov chain Monte Carlo methods. Two simulation studies, one on estimation with skew error regression models, the other on parametric quantile regression models reveal favourable estimation properties. Two corresponding empirical studies, one analysing U.S. market returns, the other on infant birthweight data further illustrate the proposed distributions and their estimation. The Canadian Journal of Statistics 42: 579–596; 2014 © 2014 Statistical Society of Canada
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Autoregressive Conditional Density Estimation
Bruce E. Hansen · International Economic Review · 1994 · 1.6K citations