An Asymmetric Distribution with Heavy Tails and Its Expectation-Maximization (EM) Algorithm Implementation
- Olmos, Neveka M. - Venegas, Osvaldo - Gomez, Yolanda M. - Iriarte, Yuri A.
- Datos de publicación:
- slashed half-normal distribution - kurtosis - likelihood - EM algorithm
- Migración Web of Science 
- In this paper we introduce a new distribution constructed on the basis of the quotient of two independent random variables whose distributions are the half-normal distribution and a power of the exponential distribution with parameter 2 respectively. The result is a distribution with greater kurtosis than the well known half-normal and slashed half-normal distributions. We studied the general density function of this distribution, with some of its properties, moments, and its coefficients of asymmetry and kurtosis. We developed the expectation-maximization algorithm and present a simulation study. We calculated the moment and maximum likelihood estimators and present three illustrations in real data sets to show the flexibility of the new model.