Skip to main content
Article
A Method for Simulating Nonnormal Distributions with Specified L-Skew, L-Kurtosis, and L-Correlation
Publications
  • Todd C. Headrick, Southern Illinois University Carbondale
  • Mohan Dev Pant, Southern Illinois University Carbondale
Comments

Published in ISRN Applied Mathematics, Vol 2012, at

doi:10.5402/2012/980827

Publication Date
1-1-2012
Abstract
This paper introduces two families of distributions referred to as the symmetric κ and asymmetric κL-κR distributions. The families are based on transformations of standard logistic pseudo-random deviates. The primary focus of the theoretical development is in the contexts of L-moments and the L-correlation. Also included is the development of a method for specifying distributions with controlled degrees of L-skew, L-kurtosis, and L-correlation. The method can be applied in a variety of settings such as Monte Carlo studies, simulation, or modeling events. It is also demonstrated that estimates of L-skew, L-kurtosis, and L-correlation are superior to conventional productmoment estimates of skew, kurtosis, and Pearson correlation in terms of both relative bias and efficiency when moderate-to-heavy-tailed distributions are of concern.
Citation Information
Todd C. Headrick and Mohan Dev Pant. "A Method for Simulating Nonnormal Distributions with Specified L-Skew, L-Kurtosis, and L-Correlation" (2012)
Available at: http://works.bepress.com/todd_headrick/3/