Why cannot we have a strongly consistent family of skew normal (And higher order) distributions

© Springer International Publishing AG 2017. In many practical situations, the only information that we have about the probability distribution is its first few moments. Since many statistical techniques requires us to select a single distribution, it is therefore desirable to select, out of all pos...

Full description

Saved in:
Bibliographic Details
Main Authors: Dumrongpokaphan T., Kreinovich V.
Format: Book Series
Published: 2017
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012925157&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/40789
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Chiang Mai University
Description
Summary:© Springer International Publishing AG 2017. In many practical situations, the only information that we have about the probability distribution is its first few moments. Since many statistical techniques requires us to select a single distribution, it is therefore desirable to select, out of all possible distributions with these moments, a single “most representative” one. When we know the first two moments, a natural idea is to select a normal distribution. This selection is strongly consistent in the sense that if a random variable is a sum of several independent ones, then selecting normal distribution for all of the terms in the sum leads to a similar normal distribution for the sum. In situations when we know three moments, there is also a widely used selection—of the so-called skew-normal distribution. However, this selection is not strongly consistent in the above sense. In this paper, we show that this absence of strong consistency is not a fault of a specific selection but a general feature of the problem: for third and higher order moments, no strongly consistent selection is possible.