Shape measures based on the convex transform order

  1. A. J. Arriaza Gómez
  2. A. Di Crescenzo
  3. M. Á. Sordo Díaz
  4. A. Suárez Llorens
Konferenzberichte:
XXXVII CONGRESO NACIONAL SEIO XI JORNADAS DE ESTAD´ISTICA PUBLICA

Verlag: Servicio de publicaciones de la Universidad de Oviedo

ISBN: 978-84-16664-98-6

Datum der Publikation: 2017

Seiten: 71

Art: Konferenz-Beitrag

GOOGLE SCHOLAR

Zusammenfassung

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.