A generalized skewness statistic for stationary ergodic martingale differences
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Authors
Kaehler, Benjamin
Maller, Ross
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Allerton Press
Abstract
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
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Mathematical Methods of Statistics