Characteristic function-based semiparametric inference for skew-symmetric models

Cornelis J. Potgieter, Marc G. Genton

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

Skew-symmetric models offer a very flexible class of distributions for modelling data. These distributions can also be viewed as selection models for the symmetric component of the specified skew-symmetric distribution. The estimation of the location and scale parameters corresponding to the symmetric component is considered here, with the symmetric component known. Emphasis is placed on using the empirical characteristic function to estimate these parameters. This is made possible by an invariance property of the skew-symmetric family of distributions, namely that even transformations of random variables that are skew-symmetric have a distribution only depending on the symmetric density. A distance metric between the real components of the empirical and true characteristic functions is minimized to obtain the estimators. The method is semiparametric, in that the symmetric component is specified, but the skewing function is assumed unknown. Furthermore, the methodology is extended to hypothesis testing. Two tests for a hypothesis of specific parameter values are considered, as well as a test for the hypothesis that the symmetric component has a specific parametric form. A resampling algorithm is described for practical implementation of these tests. The outcomes of various numerical experiments are presented. © 2012 Board of the Foundation of the Scandinavian Journal of Statistics.
Original languageEnglish (US)
Pages (from-to)471-490
Number of pages20
JournalScandinavian Journal of Statistics
Volume40
Issue number3
DOIs
StatePublished - Dec 26 2012

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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