On parameter orthogonality in symmetric and skew models

Jones, M.C. and Anaya-Izquierdo, Karim (2011). On parameter orthogonality in symmetric and skew models. Journal of Statistical Planning and Inference, 141(2) pp. 758–770.

DOI: https://doi.org/10.1016/j.jspi.2010.07.021

Abstract

Orthogonal and partly orthogonal reparametrisations are provided for certain wide and important families of univariate continuous distributions. First, the orthogonality of parameters in location-scale symmetric families is extended to symmetric distributions involving a third parameter. This sets the scene for consideration of the four-parameter situation in which skewness is also allowed. It turns out that one specific approach to generating such four-parameter families, that of two-piece distributions with a certain parametrisation restriction, has some attractive features with regard to parameter orthogonality which, to the best of our knowledge, are not shared with other four-parameter distributions. Our work also affords partly orthogonal parametrisations of three-parameter two-piece models.

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About

• Item ORO ID
• 24775
• Item Type
• Journal Item
• ISSN
• 0378-3758
• Keywords
• extended location-scale model; skew-t distribution; two-piece distribution
• Academic Unit or School
• Faculty of Science, Technology, Engineering and Mathematics (STEM) > Mathematics and Statistics
  Faculty of Science, Technology, Engineering and Mathematics (STEM)
• Copyright Holders
• © 2010 Elsevier B.V.
• Depositing User
• Karim Anaya Izquierdo