Efficient recursive computational algorithms for multivariate t and multivariate unified skew-t distributions with applications to inference

DOI10.1007/S00180-021-01119-XMaRDI QIDQ2135848zbMATH OpenOpenAlexFDO

Authors Mehdi Amiri, Yaser Mehrali, Ahad Jamalizadeh, Narayanaswamy Balakrishnan

Publication date 10 May 2022

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-021-01119-x

zbMATH Keywords

hazard functionmultivariate Student's \(t\) distributionmultivariate unified skew-\(t\) distributionorder statisticsorthant probabilityrecurrence relation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Order statistics; empirical distribution functions (62G30) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10)

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Cites work

• Additive properties of skew normal random vectors
• Approximations to Multivariate Normal Orthant Probabilities
• Concomitants of order statistics from multivariate elliptical distributions
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Distributions of order statistics and linear combinations of order statistics from an elliptical distribution as mixtures of unified skew-elliptical distributions
• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 1484400 (Why is no real title available?)
• scientific article; zbMATH DE number 1834429 (Why is no real title available?)
• Multivariate extended skew-t distributions and related families
• Multivariate T-Distributions and Their Applications
• On the exact distribution of linear combinations of order statistics from dependent random variables
• Order statistics from trivariate normal and \(t_{\nu}\)-distributions in terms of generalized skew-normal and skew-\(t_{\nu}\) distributions
• Recurrence relations for bivariate \(t\) and extended skew-\(t\) distributions and an application to order statistics from bivariate \(t\)
• Recurrence relations for distributions of a skew-\(t\) and a linear combination of order statistics from a bivariate-\(t\)
• Robust Likelihood Methods Based on the Skew-t and Related Distributions
• Some Relationships Between Skew-Normal Distributions and Order Statistics from Exchangeable Normal Random Vectors
• Stochastic properties of components in a used coherent system
• The multivariate skew-normal distribution

Cited in

(3)

• On moments of folded and truncated multivariate Student-\(t\) distributions based on recurrence relations
• Recurrence relations for distributions of a skew-\(t\) and a linear combination of order statistics from a bivariate-\(t\)
• Recurrence relations for bivariate \(t\) and extended skew-\(t\) distributions and an application to order statistics from bivariate \(t\)

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