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
Actas:
XXXVII CONGRESO NACIONAL DE ESTADÍSTICA E INVESTIGACIÓN OPERATIVA XI JORNADAS DE ESTADÍSTICA PÚBLICA

Editorial: Ediciones Universidad de Oviedo

ISBN: 978-84-16664-98-6

Año de publicación: 2018

Páginas: 71

Tipo: Aportación congreso

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Resumen

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.