We introduce the family of univariate double two–piece distributions, obtained by using a density– based transformation of unimodal symmetric continuous distributions with a shape parameter. The resulting distributions contain five interpretable parameters that control the mode, as well as...

We study the Jeffreys prior of the skewness parameter of a general class of scalar skew-symmetric models. We show that this prior is symmetric, proper, and with tails O(|λ|−3/2) under mild regularity conditions. We also calculate the independence Jeffreys prior for the case with unknown...