A Skew Extension of the T-Distribution, with Applications

DOI10.1111/1467-9868.00378zbMATH Open1063.62013OpenAlexW2034661498MaRDI QIDQ4673758FDOQ4673758

Authors: M. C. Jones, Malcolm J. Faddy 

Publication date: 9 May 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00378

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zbMATH Keywords

beta distributionrobustnessskewnesslikelihood inferenceStudent's \(t\)-distributionblood flow data

Mathematics Subject Classification ID

Point estimation (62F10) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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Cited In (only showing first 100 items - show all)

• Higher-order expansions of extremes from mixed skew-t distribution
• A bivariate \(F\) distribution with marginals on arbitrary numerator and denominator degrees of freedom, and related bivariate beta and \(t\) distributions
• Marginal replacement in multivariate densities, with application to skewing spherically symmetric distributions
• Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
• Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
• Robust statistical modelling using the multivariate skew \(t\) distribution with complete and incomplete data
• Mixtures of skew-\(t\) factor analyzers
• Robust regression modeling via parametric likelihoods: an alternative to using the skew \(t\) distribution and several rank-based methods
• On the performance of the flexible maximum entropy distributions within partially adaptive estimation
• Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
• Objective Bayesian inference for the half-normal and half-\(t\) distributions
• Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers
• PORT Hill and Moment Estimators for Heavy-Tailed Models
• Extreme Value Distributions for the Skew-Symmetric Family of Distributions
• Computational tools for comparing asymmetric GARCH models via Bayes factors
• Robust model-based clustering via mixtures of skew-\(t\) distributions with missing information
• On Rényi information for ergodic diffusion processes
• Families of distributions arising from distributions of order statistics
• Estimation methods for expected shortfall
• The exp-\(G\) family of probability distributions
• Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
• An alternative multivariate skew-slash distribution
• A new skew logistic distribution: properties and applications
• On some study of skew-\(t\) distributions
• Bayesian mixture modelling in geochronology via Markov chain Monte Carlo
• On some tests of the covariance matrix under general conditions
• A robust approach to joint modeling of mean and scale covariance for longitudinal data
• On fundamental skew distributions
• The multivariate skew-slash distribution
• Bayesian robust analysis for non-normal data based on a perturbed-t model
• Robust Likelihood Methods Based on the Skew-t and Related Distributions
• A generalised student's \(t\)-distribution
• Inference for a skew extension of the Grubbs model
• Bayesian analysis of multivariate stochastic volatility with skew return distribution
• Financial data and the skewed generalized \(t\) distribution
• A new familiy of skewed slash distributions generated by the Cauchy kernel
• A skew extension of the slash distribution via beta-normal distribution
• On parameter orthogonality in symmetric and skew models
• The Logistic-Uniform Distribution and Its Applications
• Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
• Skew-normal/independent linear mixed models for censored responses with applications to HIV viral loads
• Log-gamma-generated families of distributions
• Portfolio optimization under a generalized hyperbolic skewed \(t\) distribution and exponential utility
• Joint modelling of location and scale parameters of the t distribution
• Bayesian non-linear regression models with skew-elliptical errors: applications to the classification of longitudinal profiles
• Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
• Tests for normality in classes of skew-\(t\) alternatives
• Multitude of bivariatetdistributions
• A review on the univariate skew \(t\)-distributions
• The skew generalized \(t\) (SGT) distribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• An asymptotic expansion of the distribution of Rao's \(U\)-statistic under a general condition
• A Bayesian approach to bandwidth selection for multivariate kernel density estimation
• Generalized Additive Models for Location, Scale and Shape
• Truncated-exponential skew-symmetric distributions
• Reduced-bias location-invariant extreme value index estimation: a simulation study
• Skew \(t\) distributions via the sinh-arcsinh transformation
• The centred parameterization and related quantities of the skew-\(t\) distribution
• Multivariate extended skew-\(t\) distributions and related families
• Inference for grouped data with a truncated skew-Laplace distribution
• A family of skew distributions with mode-invariance through transformation of scale
• A robust factor analysis model using the restricted skew-\(t\) distribution
• Flexible Class of Skew-Symmetric Distributions
• Large-Sample Inference for the Epsilon-Skew-t Distribution
• BL-GARCH models with elliptical distributed innovations
• Truncated and Limited Skew-Normal and Skew-t Distributions: Properties and an Illustration
• Objective Bayesian analysis for the multivariate skew-\(t\) model
• Asymmetry and Gradient Asymmetry Functions: Density‐Based Skewness and Kurtosis
• Perturbation of numerical confidential data via skew-\(t\) distributions
• The sinh-arcsinhed logistic family of distributions: properties and inference
• Analysis of multivariate skew normal models with incomplete data
• Location-scale mixture of skew-elliptical distributions: looking at the robust modeling
• The Kumaraswamy skew-t distribution and its related properties
• The fractional-diffusion equation and a new distribution to model positively skewed data with heavy tails
• Generalized beta-generated distributions
• A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
• Skew scale mixtures of normal distributions: properties and estimation
• Semiparametric models and inference for the effect of a treatment when the outcome is nonnegative with clumping at zero
• A beta-epsilon distribution: properties and applications
• Complete spatial model calibration
• On the robustness of an epsilon skew extension for Burr III distribution on the real line
• The beta skew \(t\) distribution and its properties
• Shrinkage estimation of a location parameter for a multivariate skew elliptic distribution
• Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions
• Methods for generating families of univariate continuous distributions in the recent decades
• Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution
• Measures of biomarker dependence using a copula-based multivariate epsilon–skew–normal family of distributions
• A generalized skewness statistic for stationary ergodic martingale differences
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• Modelling exchange rate returns: which flexible distribution to use?
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• Modified maximum likelihood estimator under the Jones and Faddy's skew t-error distribution for censored regression model
• Testing for sub-models of the skew \(t\)-distribution
• A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
• Skewness-kurtosis bounds for the skewed generalized \(T\) and related distributions
• Two-sided generalized exponential distribution

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