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.

URL: http://www.crcpress.com/product/isbn/9781584881247...


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.

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