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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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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 Section
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/School: Faculty of Science, Technology, Engineering and Mathematics (STEM) > Mathematics and Statistics
Faculty of Science, Technology, Engineering and Mathematics (STEM)
Item ID: 22685
Depositing User: Sarah Frain
Date Deposited: 25 Aug 2010 11:02
Last Modified: 07 Dec 2018 09:38
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