Testing for sub-models of the skew t-distribution

DOI10.1007/S10260-017-0387-XzbMATH Open1387.62022OpenAlexW2726722497MaRDI QIDQ1742840FDOQ1742840

Authors: Thomas J. Diciccio, Anna Clara Monti 

Publication date: 12 April 2018

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-017-0387-x

Recommendations

• Tests for normality in classes of skew-\(t\) alternatives
• A Skew Extension of the T-Distribution, with Applications
• Minimum Hellinger distance based inference for scalar skew-normal and skew-\(t\) distributions
• Bias prevention of maximum likelihood estimates for scalar skew normal and skew \(t\) distribu\-tions
• The \(t\) statistic of the skew elliptical distributions

zbMATH Keywords

asymptotic distributionBartlett correctionlikelihood inferencenormality testskew normal distributionskew \(t\)-distributionnon-standard asymptoticssingular information matrixboundary-value parameterflexible parametric model

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Asymptotic properties of parametric estimators (62F12) Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Statistical Applications of the Multivariate Skew Normal Distribution
• Title not available (Why is that?)
• The centred parameterization and related quantities of the skew-\(t\) distribution
• Robust Likelihood Methods Based on the Skew-t and Related Distributions
• Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions
• Title not available (Why is that?)
• The Skew-normal Distribution and Related Multivariate Families*
• A general class of multivariate skew-elliptical distributions
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Title not available (Why is that?)
• Multivariate skewt-distribution
• A note on the asymptotic distribution of the maximum likelihood estimator for the scalar skew-normal distribution
• Title not available (Why is that?)
• Skew-symmetric distributions and Fisher information -- a tale of two densities
• On Fisher information matrices and profile log-likelihood functions in generalized skew-elliptical models
• On the information matrix of the multivariate skew-\(t\) model
• The centred parametrization for the multivariate skew-normal distribution
• On the singularity of multivariate skew-symmetric models
• A decomposition for the likelihood ratio statistic and the Bartlett correction - a Bayesian argument
• Skew-symmetric distributions and Fisher information: the double sin of the skew-normal

Cited In (4)

• Likelihood procedure for testing changes in skew normal model with applications to stock returns
• Title not available (Why is that?)
• The \(t\) statistic of the skew elliptical distributions
• Tests for normality in classes of skew-\(t\) alternatives

Uses Software

• sn

This page was built for publication: Testing for sub-models of the skew \(t\)-distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1742840)