A constructive representation of univariate skewed distributions

We introduce a general perspective on the introduction of skewness into symmetric dis-tributions. Through inverse probability integral transformations we provide a constructive representation of skewed distributions, where the skewing mechanism and the original sym-metric distributions are specified separately. We study the effects of the skewing mechanism on e.g. modality, tail behaviour and the amount of skewness generated. The representation is used to introduce novel classes of skewed distributions, where we induce certain prespec-ified characteristics through particular choices of the skewing mechanism. Finally, we use a Bayesian linear regression framework to compare the new classes with some existing distributions in the context of two empirical examples