A skew t distribution

Jones, M. C. (2000). A skew t distribution. In: Charalambides, Ch. A.; Koutras, M. V. and Balakrishnan, N. eds. Probability and Statistical Models with Applications. London: Chapman & Hall/CRC, pp. 269–278.

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Abstract

I first consider the formulation and properties of a new skew family of distributions on the real line which includes the (symmetric) Student t distributions as special cases. The family can be obtained through a simple generalization of a representations of the t distribution in Cacoullos (1965). I go on to explore briefly two ways in which bivariate distributions with skew t margins can be developed.

Item Type:	Book Chapter
Copyright Holders:	2001 Chapman & Hall/CRC
ISBN:	1-58488-124-0, 978-1-58488-124-7
Keywords:	beta distribution; Dirichlet distribution; multivariate t and beta distributions; skewness; student t distribution
Academic Unit/Department:	Mathematics, Computing and Technology > Mathematics and Statistics
Item ID:	22685
Depositing User:	Sarah Frain
Date Deposited:	25 Aug 2010 11:02
Last Modified:	02 Dec 2010 21:02
URI:	http://oro.open.ac.uk/id/eprint/22685

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