A skew extension of the t-distribution, with applications

• 成果类型: Article
• 署名作者: Jones, MC; Faddy, MJ
• 署名单位: Open University - UK; University of Birmingham
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/1467-9868.00378
• 发表日期: 2003
• 页码: 159-174
• 关键词: regression-models; approximations; inference; robust

摘要

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.