Modeling heavy-tailed,skewed and peaked uncertainty phenomena with bounded support |
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| Authors: | C B García J García Pérez J R van Dorp |
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| Institution: | 1.Departamento de Métodos Cuantitativos para la Economía y la Empresa, Facultad de Ciencias Económicas y Empresariales,University of Granada,Granada,Spain;2.Departamento de Economía Aplicada,University of Almería,Almería,Spain;3.Department of Engineering Management and Systems Engineering,The George Washington University,Washington,USA |
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| Abstract: | A prevalence of heavy-tailed, peaked and skewed uncertainty phenomena have been cited in literature dealing with economic,
physics, and engineering data. This fact has invigorated the search for continuous distributions of this nature. In this paper
we shall generalize the two-sided framework presented in Kotz and van Dorp (Beyond beta: other continuous families of distributions
with bounded support and applications. World Scientific Press, Singapore, 2004) for the construction of families of distributions with bounded support via a mixture technique utilizing two generating
densities instead of one. The family of Elevated Two-Sided Power (ETSP) distributions is studied as an instance of this generalized
framework. Through a moment ratio diagram comparison, we demonstrate that the ETSP family allows for a remarkable flexibility
when modeling heavy-tailed and peaked, but skewed, uncertainty phenomena. We shall demonstrate its applicability via an illustrative
example utilizing 2008 US income data. |
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