A new class of Skew-Normal-Cauchy Distribution

• Jaime Arrué ^[1] ; Héctor W. Gómez ^[1] ; Hugo S. Salinas ^[2] ; Heleno Bolfarine ^[3]
  1. [1] Universidad de Antofagasta

     Universidad de Antofagasta

     Antofagasta, Chile

     
  2. [2] Universidad de Atacama

     Universidad de Atacama

     Copiapo, Chile

     
  3. [3] Universidade de São Paulo

     Universidade de São Paulo

     Brasil

     

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• Localización: Sort: Statistics and Operations Research Transactions, ISSN 1696-2281, Vol. 39, Nº. 1, 2015, págs. 35-50
• Idioma: inglés
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• Resumen

  • In this paper we study a new class of skew-Cauchy distributions inspired on the family extended two-piece skew normal distribution. The new family of distributions encompasses three well known families of distributions, the normal, the two-piece skew-normal and the skew-normal-Cauchy distributions. Some properties of the new distribution are investigated, inference via maximum likelihood estimation is implemented and results of a real data application, which reveal good performance of the new model, are reported.