The Skew Generalized Secant Hyperbolic Family
DOI:
https://doi.org/10.17713/ajs.v35i4.353Abstract
We introduce a skewness parameter into Vaughan’s (2002) generalized secant hyperbolic (GSH) distribution by means of exponential tilting and develop some properties of the new distribution family. In particular, the moment-generating function is derived which ensures the existence of all moments. Finally, the flexibility of our distribution is compared to similar parametric models by means of moment-ratio plots and application to foreign exchange rate data.
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