The Balakrishnan alpha skew truncated cauchy distribution with applications in modelling currency exchange rate
In this article, a new class of alpha skew truncated Cauchy distribution is proposed by considering Balakrishnan methodology and investigated some of its related distributions. This article also derive various properties of this distribution along with its moments. The proposed distribution is app...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2020
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| Online Access: | http://journalarticle.ukm.my/15952/1/22.pdf http://journalarticle.ukm.my/15952/ http://www.ukm.my/jsm/malay_journals/jilid49bil10_2020/KandunganJilid49Bil10_2020.html |
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| Summary: | In this article, a new class of alpha skew truncated Cauchy distribution is proposed by considering Balakrishnan
methodology and investigated some of its related distributions. This article also derive various properties of this
distribution along with its moments. The proposed distribution is applied in modeling currency exchange rate data
with some other existing distributions, viz., skewed Cauchy distribution, skewed truncated Cauchy distribution, truncated
skew Cauchy uniform distribution, doubly truncated skew Cauchy distribution, and alpha skew truncated Cauchy
distribution. Based on the model selection criteria, Akaike Information Criteria (AIC) and Bayesian Information
Criteria (BIC), the proposed distribution has shown significant improvement in modeling exchange rate dataset. |
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