The skew generalizedtdistribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation

The frequency of regime switching in financial market volatility

“…The rate of acceptance of the null hypothesis, that all estimated coefficientsexcept the transition probabilities -equal the initial ones, is further reported. 4 Actually, Arslan & Genç (2009) have introduced the CDF of a modified version of the SGT; their CDF, however, lacks detailed proof and is far from the distribution function's usual S shape. 5 Uniform pseudorandom numbers are generated using the Mersenne-Twister algorithm with a super-astronomical period of 2 19937 − 1, the initial seed is set to the computer clock at the time when the simulations are conducted to ensure maximum efficiency.…”

“…Although the SGT has been introduced by Theodossiou (1998), and lately studied by Arslan &Genç (2009) andNadarajah &Pogány (2012), none of these studies has correctly developed its cumulative distribution function (CDF), which is crucial in generating pseudorandom numbers. 4 In this paper, we develop a closed form CDF of the SGT in Eq.…”

Maximum likelihood parameter estimation for the multivariate skew–slash distribution

“…One can see Lange and Sinsheimer (1993), Wang and Genton (2006), Gomez et al (2007), and Arslan and Genc (2009a) for further details about the multivariate slash distribution.…”

Inference and further probabilistic properties of the $$ SUN_{n,2}$$ S U N n , 2 -distribution

“…Multivariate laplace distribution was extended to multivariate skew-laplace distribution, using a normal variance-mean mixture model with a gamma mixture by Arslan (2010). Also Arslan and Genc (2009) studied skew generalized t (SGT) distribution as the scale mixture of a skew exponential power distribution by providing an iterative re-weighting algorithm to compute the maximum likelihood estimates for the parameters identified as an EM-type algorithm. Huang and Chen (2006) introduced the multivariate skew normalsymmetric distributions and found the distribution of some quadratic forms for this family.…”