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350007

A Double Transformed- Flipped- Retransformed Quantile Estimator for Skewed Distributions

Article

Last updated: 24 Dec 2024

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Tags

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Abstract

In this paper, a hybrid three-step approach is introduced to bring the data to approximate normality. This approach uses two different transformations jointly with flipping and, in some cases, with Winsorization. The first step is to achieve approximate symmetry by transforming the data using the generalized modulus family of transformations. If the quantile to be estimated is in the longer tail, the resulting transformed sample is then Winsorized. The second step is to achieve exact sample symmetry by flipping the lower (upper) half of the transformed sample when estimating quantiles smaller (larger) than the median. The third step is to approximately Gaussianize the resulting sample using the sinh-arcsinh transformation. Estimating the quantile of the new data and then double back transforming, the new proposed nonparametric quantile estimator can be obtained. Through a simulation study, the new proposed quantile estimator is evaluated and compared with some competitor existing estimators. Simulation results show stable empirical performance and unrestricted outperformance of the proposed estimator compared to all other competitor estimators under investigation.   

DOI

10.21608/acj.2024.350007

Keywords

Quantiles, Robust Estimators, Modulus Family of Power Transformation, Generalized Modulus Family of Power Transformation, Sinh-arcSinh family of Transformations, Winsorized Sample, Flipped Sample

Authors

First Name

Mohammad Ibrahim Soliman

Last Name

Gaafar

MiddleName

-

Affiliation

Faculty of Business – Alexandria University

Email

mohammad.solayman@alexu.edu.eg

City

-

Orcid

-

Volume

61

Article Issue

2

Related Issue

46998

Issue Date

2024-03-01

Receive Date

2024-01-15

Publish Date

2024-03-30

Page Start

87

Page End

104

Print ISSN

2682-4183

Online ISSN

2682-4191

Link

https://acjalexu.journals.ekb.eg/article_350007.html

Detail API

https://acjalexu.journals.ekb.eg/service?article_code=350007

Order

3

Type

المقالة الأصلية

Type Code

759

Publication Type

Journal

Publication Title

مجلة جامعة الإسکندرية للعلوم الإدارية

Publication Link

https://acjalexu.journals.ekb.eg/

MainTitle

A Double Transformed- Flipped- Retransformed Quantile Estimator for Skewed Distributions

Details

Type

Article

Created At

24 Dec 2024