Asymmetric Distributions from Constrained Mixtures

03/22/2015
by   Conrado S. Miranda, et al.
0

This paper introduces constrained mixtures for continuous distributions, characterized by a mixture of distributions where each distribution has a shape similar to the base distribution and disjoint domains. This new concept is used to create generalized asymmetric versions of the Laplace and normal distributions, which are shown to define exponential families, with known conjugate priors, and to have maximum likelihood estimates for the original parameters, with known closed-form expressions. The asymmetric and symmetric normal distributions are compared in a linear regression example, showing that the asymmetric version performs at least as well as the symmetric one, and in a real world time-series problem, where a hidden Markov model is used to fit a stock index, indicating that the asymmetric version provides higher likelihood and may learn distribution models over states and transition distributions with considerably less entropy.

READ FULL TEXT
research
12/13/2021

A unified treatment of characteristic functions of symmetric multivariate and related distributions

The purpose of the present paper is to give unified expressions to the c...
research
10/29/2019

Sine-skewed toroidal distributions and their application in protein bioinformatics

In the bioinformatics field, there has been a growing interest in modell...
research
09/26/2022

Asymmetric Laplace scale mixtures for the distribution of cryptocurrency returns

Recent studies about cryptocurrency returns show that its distribution c...
research
07/03/2023

Minimax rates of convergence for nonparametric location-scale models

This paper studies minimax rates of convergence for nonparametric locati...
research
08/18/2021

A New Asymmetric Copula with Reversible Correlations and Its Application to the EU Sovereign Debt Crisis

This paper proposes a novel asymmetric copula based upon bivariate split...
research
10/10/2022

Centre-free kurtosis orderings for asymmetric distributions

The concept of kurtosis is used to describe and compare theoretical and ...
research
05/11/2020

Generalized Univariate Distributions and a New Asymmetric Laplace Model

This work provides a survey of the general class of distributions genera...

Please sign up or login with your details

Forgot password? Click here to reset