A generalized skew slash distribution via gamma-normal distribution

ABSTRACT

In this article, we introduce a generalization of the slash distribution via the gamma-normal distribution. We define the new slash distribution by relation of a gamma-normal random variable with respect to a power of a uniform random variable. The newly defined distribution generalizes the slash distribution and is more flexible in terms of its kurtosis and skewness than the slash distribution. Basic properties of the new distribution are studied. We derive the maximum likelihood estimators of its parameters and apply the distribution to a real dataset.

KEYWORDS:

• Gamma-normal distribution
• Heavy tailed distribution
• Slash distribution
• Slashed gamma-normal distribution

Mathematics Subject Classification:

• 62E10
• 62F10

Acknowledgment

The author would like to thank the editor and anonymous referee for carefully reading the article and for their great help in improving the article.