Sinh-arcsinh Distributions


  • Prof. Arthur Pewsey – Department of Mathematics – Escuela Politécnica – University of Extremadura
  • FCUL (DEIO) – Campo Grande – Bloco C6 Piso 4 – Sala: 6.4.30 – 15:30h
  • Sexta-feira, 19 de Novembro de 2010

My talk will begin with a description of the ‘sinh-arcsinh’ transformation, which will then be used to define the sinh-arcsinh family of distributions. When the base generating distribution is standard normal, the ‘sinh-arcsinhed normal’ (SASN) class of distributions is obtained. This class contains symmetric as well as asymmetric members and allows for tailweights that are heavier or lighter than those of the normal distribution. As will be shown, the SASN class is highly tractable and has many appealing properties. Very recent research also shows that certain quantile based measures of kurtosis are skewness-invariant for the wider sinh-arcsinh family. Likelihood based inference for the SASN class will be considered and applied in the analysis of some real data. Finally, the options used within the sinh-arcsinh formulation, as well as its extension, will be discussed.