Response to the Letter to the Editor on ‘On Quantile‐based Asymmetric Family of Distributions: Properties and Inference’

Rubio (2020) points out an identification problem for the four-parameter family of two-piece asymmetric densities introduced by Nassiri & Loris (2013). This implies that statistical inference for that family is problematic. Establishing probabilistic properties for this four-parameter family however still makes sense. For the three-parameter family, there is no identification problem. The main contribution in Gijbels et al. (2019a) is to provide asymptotic results for maximum likelihood and method-of-moments estimators for all members of the three-parameter quantile-based asymmetric family of distributions.

Publication year:2020

Keywords:Asymmetric density, asymptotics, maximum likelihood estimation, method of moments, quantiles

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BOF-publication weight:1

CSS-citation score:2

Authors:International

Authors from:Higher Education

Accessibility:Open