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Application of Alpha Skew Truncated Cauchy Distribution in Exchange Rate Data

Received: 6 July 2016     Accepted: 9 July 2016     Published: 26 August 2016
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Abstract

In this article the alpha skew version of truncated Cauchy distribution using the methodology of Elal-Olivero (Alpha–skew–normal distribution. Proyecciones Journal of Mathematics. 29: 224-240, 2010) has been derived. The important distributional properties have been investigated. An application of the distribution in modeling exchange rate data from the field of finance has been presented.

Published in International Journal of Statistical Distributions and Applications (Volume 2, Issue 2)
DOI 10.11648/j.ijsd.20160202.12
Page(s) 22-26
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2016. Published by Science Publishing Group

Keywords

Alpha Skew Distribution, Exchange Rate, MLE

References
[1] Johnson, N. L. and Kotz, S. (1970). Continuous Univariate Distributions, Vol. 1, John Wiley and Sons, New York.
[2] Nadarajah, S and Kotz, S. (2006). A Truncated Cauchy Distribution. International Journal of Mathemaical Education in Science and Technology. 37, 605-608.
[3] Chakraborty, S. and Sarmah, G. C. (2010). On Doubly Truncated Cauchy Distribution. Int. J. Agricult. Stat. Sci. 6 (2), 349-363.
[4] Azzalini, A. (1985). A class of distributions which includes the normal ones. Scand. J. Stat.. 12, 171 - 178.
[5] Chakraborty, S., Hazarika, P. J. (2011). A survey of the theoretical developments in univariate skew normal distributions, Assam Statistica Review. 25 (1), 41-63.
[6] Nadarajah, S, Kotz, S. (2007). A Skew Truncated Cauchy Distribution with application in economics. Applied Economics Letter. 14, 957-961.
[7] Huang, W. J., Chen, Y. H. (2007). Generalized skew Cauchy distribution, Statistics Probability Letters. 77, 1137 - 1147.
[8] Ashani, Z. N., Bakar, M. R. A., Ibrahim, N. A., Adam, M. B. (2016). A Skewed Truncated Cauchy Uniform Distribution and its Moment. Modern Applied Science. 10 (7), 174-182.
[9] Elal-Olivero, D. (2010). Alpha–skew–normal distribution. Proyecciones Journal of Mathematics. 29, 224 - 240.
[10] Harandi, S. S., Alamatsaz, M. H. (2013). Alpha-skew-Laplace distribution, Statist Statistics Probability Letters. 83 (3): 774 - 782.
[11] Hazarika, P. J., Chakraborty, S. (2014). Alpha Skew Logistic Distribution, IOSR Journal of Mathematics. 10 (4) Ver. VI: 36-46.
[12] Hazarika, P. J., Chakraborty, S. (2015). A Note on Alpha Skew Generalized Logistic Distribution. IOSR Journal of Mathematics. 11 (1) Ver. IV: 85-88.
[13] Sharafi, M, Sajjadnia, Z, Behboodian, J. (2016). A new generalization of Alpha-Skew-Normal Distribution, Communications in Statistics-Theory and Methods. DOI: 10.1080/03610926.2015.1117639
[14] Prudnikov, A. P., Brychkov, Y. A., Marichev, O. I. (1986). Integrals and Series, Vols 1, 2 and 3 (Amsterdam: Gordon and Breach Science Publishers).
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    Partha Jyoti Hazarika, Subrata Chakraborty. (2016). Application of Alpha Skew Truncated Cauchy Distribution in Exchange Rate Data. International Journal of Statistical Distributions and Applications, 2(2), 22-26. https://doi.org/10.11648/j.ijsd.20160202.12

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    ACS Style

    Partha Jyoti Hazarika; Subrata Chakraborty. Application of Alpha Skew Truncated Cauchy Distribution in Exchange Rate Data. Int. J. Stat. Distrib. Appl. 2016, 2(2), 22-26. doi: 10.11648/j.ijsd.20160202.12

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    AMA Style

    Partha Jyoti Hazarika, Subrata Chakraborty. Application of Alpha Skew Truncated Cauchy Distribution in Exchange Rate Data. Int J Stat Distrib Appl. 2016;2(2):22-26. doi: 10.11648/j.ijsd.20160202.12

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  • @article{10.11648/j.ijsd.20160202.12,
      author = {Partha Jyoti Hazarika and Subrata Chakraborty},
      title = {Application of Alpha Skew Truncated Cauchy Distribution in Exchange Rate Data},
      journal = {International Journal of Statistical Distributions and Applications},
      volume = {2},
      number = {2},
      pages = {22-26},
      doi = {10.11648/j.ijsd.20160202.12},
      url = {https://doi.org/10.11648/j.ijsd.20160202.12},
      eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijsd.20160202.12},
      abstract = {In this article the alpha skew version of truncated Cauchy distribution using the methodology of Elal-Olivero (Alpha–skew–normal distribution. Proyecciones Journal of Mathematics. 29: 224-240, 2010) has been derived. The important distributional properties have been investigated. An application of the distribution in modeling exchange rate data from the field of finance has been presented.},
     year = {2016}
    }
    

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    AB  - In this article the alpha skew version of truncated Cauchy distribution using the methodology of Elal-Olivero (Alpha–skew–normal distribution. Proyecciones Journal of Mathematics. 29: 224-240, 2010) has been derived. The important distributional properties have been investigated. An application of the distribution in modeling exchange rate data from the field of finance has been presented.
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Author Information
  • Department of Statistics, Dibrugarh University, Dibrugarh, Assam, India

  • Department of Statistics, Dibrugarh University, Dibrugarh, Assam, India

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