A new class of distributions on the whole real line based on the continuous iteration approach. (English) Zbl 07710575
Summary: 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 \(-\infty\) 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.
MSC:
| 62-XX | Statistics |
| 91-XX | Game theory, economics, finance, and other social and behavioral sciences |
Software:
snReferences:
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