A Novel Asymmetric Distribution with Power Tails

In this article, we propose a four-parameter asymmetric doubly Pareto-uniform (DPU) distribution with support (−∞, ∞) whose density and cumulative distribution functions are constructed by seamlessly concatenating the left and right Pareto tails with a uniform central part. Properties of the distribution are described and a maximum likelihood estimation (MLE) procedure for its parameters is obtained. Two illustrative examples of the MLE procedure are provided. The first example utilizes an i.i.d. sample of standardized log-differences of bi-monthly 30-year U.S. conventional mortgage interest rates (1971–2004). The second example deals with the height of 100 female Australian athletes.

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