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A skew extension of the t ‐distribution, with applications
Author(s) -
Jones M. C.,
Faddy M. J.
Publication year - 2003
Publication title -
journal of the royal statistical society: series b (statistical methodology)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 6.523
H-Index - 137
eISSN - 1467-9868
pISSN - 1369-7412
DOI - 10.1111/1467-9868.00378
Subject(s) - skew , robustness (evolution) , extension (predicate logic) , inference , distribution (mathematics) , computer science , student's t distribution , mathematics , algorithm , econometrics , artificial intelligence , mathematical analysis , programming language , biochemistry , gene , autoregressive conditional heteroskedasticity , volatility (finance) , telecommunications , chemistry
Summary. A tractable skew t ‐distribution on the real line is proposed. This includes as a special case the symmetric t ‐distribution, and otherwise provides skew extensions thereof. The distribution is potentially useful both for modelling data and in robustness studies. Properties of the new distribution are presented. Likelihood inference for the parameters of this skew t ‐distribution is developed. Application is made to two data modelling examples.