A skew extension of the t-distribution, with applications

被引：196

作者：

Jones, MC

Faddy, MJ

机构：

[1] Open Univ, Dept Stat, Fac Math & Comp, Milton Keynes MK7 6AA, Bucks, England

[2] Univ Birmingham, Birmingham B15 2TT, W Midlands, England

来源：

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY | 2003年 / 65卷

关键词：

beta distribution; likelihood inference; robustness; skewness; student's t-distribution;

D O I：

10.1111/1467-9868.00378

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页码：159 / 174

页数：16

共 29 条

[1]

[Anonymous], 1964, Handbook of mathematical functions

[2]

[Anonymous], 1979, INFERENCE LINEAR MOD

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