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A generalized skewness statistic for stationary ergodic martingale differences

Kaehler, Benjamin; Maller, Ross


We present a class of generalized skewness statistics depending on a parameter β < 0 and containing the usual skewness statistic when β = 3, but providing greater flexibility for modelling and testing skewness when β ≠ 3. The statistics' suitability

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
Source: Mathematical Methods of Statistics
DOI: 10.3103/S106653071003004X


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