A. J. Arriaza Gómez, A. Di Crescenzo, M. Á. Sordo Díaz, A. Suárez Llorens
We introduce in this paper three functional measures to examinate the shape of univariate distributions that satisfy some desirable properties, including consistency with the convex transform order. The first two are weighted tail indices that characterize location-scale families of distributions and the third one is a skewness measure. We study some classical families of distributions in terms of these measures, characterizing, in particular, the generalized Pareto distribution. The problem of estimation is also considered and illustrated with real data.
Palabras clave / Keywords: convex transform order, kurtosis measures, shape measures, skewness measures, stochastic orders, tail weight, generalized Pareto distribution
Programado
Sesión GT12-1 Ordenaciones Estocásticas y sus Aplicaciones: Aplicaciones de los Órdenes Estocásticos a Finanzas y Actuariales (OEA-1). Organizador: Alfonso Suárez Llorens
29 de mayo de 2018 10:30
Sala 7
