Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution

• 成果类型: Article
• 署名作者: Azzalini, A; Capitanio, A
• 署名单位: University of Padua; University of Bologna
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/1467-9868.00391
• 发表日期: 2003
• 页码: 367-389
• 关键词: models; robust

摘要

A fairly general procedure is studied to perturb a multivariate density satisfying a weak form of multivariate symmetry, and to generate a whole set of non-symmetric densities. The approach is sufficiently general to encompass some recent proposals in the literature, variously related to the skew normal distribution. The special case of skew elliptical densities is examined in detail, establishing connections with existing similar work. The final part of the paper specializes further to a form of multivariate skew t-density. Likelihood inference for this distribution is examined, and it is illustrated with numerical examples.