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
Actes de conférence:
XXXVII CONGRESO NACIONAL DE ESTADÍSTICA E INVESTIGACIÓN OPERATIVA XI JORNADAS DE ESTADÍSTICA PÚBLICA

Éditorial: Ediciones Universidad de Oviedo

ISBN: 978-84-16664-98-6

Année de publication: 2018

Pages: 71

Type: Communication dans un congrès

GOOGLE SCHOLAR

Résumé

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.