1. A new class of distributions on the whole real line based on the continuous iteration approach.
- Author
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Dijoux, Yann
- Subjects
- *
DISTRIBUTION (Probability theory) , *SKEWNESS (Probability theory) , *LAPLACE distribution - Abstract
The continuous iteration of an exponential-type function allows to describe a whole range of growths between logarithmical and exponential. This principle has been applied to a class of lifetime distributions called Tetration distribution and its subsequent tail has the property to belong to an extremely versatile family, from heavy-tailed to light-tailed. The present paper aims to construct a statistical distribution on the whole real line, based on the same principle. This new distribution, denoted Asymmetric Tetration distribution is obtained by combining a reflection of the Tetration distribution with skewing methods. Two inference methods are developed and compared in terms of performance of their estimators. In addition, an index of tail heaviness at − ∞ is proposed and computed for the most common distributions on the whole real line. Finally, the Asymmetric Tetration distribution is applied to data sets in the finance domain. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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