Journal Name:
- European Journal of Pure and Applied Mathematics
Author Name | University of Author |
---|---|
Abstract (2. Language):
Among many papers of Professor Clive W. J. Granger, the one that strongly draws my attention
is his work [7] using the skew-t model to analyze common factors in conditional distributions
for bivariate time series. Different from many existing versions of theory-oriented skew-t models, the
skew-t model that Professor Granger and his collaborators used was directly motivated by applications
in analyzing economics data. This application-oriented skew-t model has discernible features on enabling
model flexibility and keeping the practical standardizing conditions [10]. On the other hand,
the skew-t model is in need of a proper statistical justification to solidify its theoretical foundation. In
this paper, we initiate a new skew normal family that enhances the skew-t model in [10] and [7].
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