A Skew Extension of the T-Distribution, with Applications

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Cites work

scientific article; zbMATH DE number 3713025 (Why is no real title available?)
A new class of multivariate skew distributions with applications to bayesian regression models
Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
Multivariate t and beta distributions associated with the multivariate F distribution
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
The epsilon-skew-normal distribution for analyzing near-normal data

Cited in

(only showing first 100 items - show all)

scientific article; zbMATH DE number 7670293 (Why is no real title available?)
Distortion Risk Measures Under Skew Normal Settings
A beta-epsilon distribution: properties and applications
A bivariate F distribution with marginals on arbitrary numerator and denominator degrees of freedom, and related bivariate beta and t distributions
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
Semiparametric models and inference for the effect of a treatment when the outcome is nonnegative with clumping at zero
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
Higher-order expansions of extremes from mixed skew-t distribution
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
Shrinkage estimation of a location parameter for a multivariate skew elliptic distribution
Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions
Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution
Robust statistical modelling using the multivariate skew \(t\) distribution with complete and incomplete data
Mixtures of skew-\(t\) factor analyzers
On the performance of the flexible maximum entropy distributions within partially adaptive estimation
Methods for generating families of univariate continuous distributions in the recent decades
Measures of biomarker dependence using a copula-based multivariate epsilon–skew–normal family of distributions
A generalized skewness statistic for stationary ergodic martingale differences
Bimodal extension based on the skew-\(t\)-normal distribution
Robust regression modeling via parametric likelihoods: an alternative to using the skew \(t\) distribution and several rank-based methods
Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
Modelling exchange rate returns: which flexible distribution to use?
Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers
PORT Hill and Moment Estimators for Heavy-Tailed Models
scientific article; zbMATH DE number 5232090 (Why is no real title available?)
Properties and inference for a new class of skew-\(t\) distributions
A parametric regression framework for the skew sinh-arcsinh \(t\) distribution
Objective Bayesian inference for the half-normal and half-\(t\) distributions
Heavy or semi-heavy tail, that is the question
Computational tools for comparing asymmetric GARCH models via Bayes factors
Connecting distributions with power tails on the real line, the half line and the interval
Robust model-based clustering via mixtures of skew-t distributions with missing information
Extreme Value Distributions for the Skew-Symmetric Family of Distributions
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
On Rényi information for ergodic diffusion processes
A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
Families of distributions arising from distributions of order statistics
The exp-\(G\) family of probability distributions
Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
Estimation methods for expected shortfall
A new skew logistic distribution: properties and applications
An alternative multivariate skew-slash distribution
Bayesian mixture modelling in geochronology via Markov chain Monte Carlo
On some tests of the covariance matrix under general conditions
On some study of skew-\(t\) distributions
A robust approach to joint modeling of mean and scale covariance for longitudinal data
Skewness-kurtosis bounds for the skewed generalized \(T\) and related distributions
On fundamental skew distributions
The multivariate skew-slash distribution
Bayesian robust analysis for non-normal data based on a perturbed-t model
Two-sided generalized exponential distribution
Concentration function for the skew-normal and skew-\(t\) distributions, with application in robust Bayesian analysis
Robust Likelihood Methods Based on the Skew-t and Related Distributions
Asymptotic expansions for market risk assessment: evidence in energy and commodity indices
Rejoinder
Inference for a skew extension of the Grubbs model
Joint regression modeling of location and scale parameters of the skew t distribution with application in soil chemistry data
A generalised student's \(t\)-distribution
Robust modeling using the generalized epsilon-skew-\(t\) distribution
Moments of the generalized hyperbolic distribution
Financial data and the skewed generalized \(t\) distribution
Skew selection for factor stochastic volatility models
Bayesian analysis of multivariate stochastic volatility with skew return distribution
A skewed truncated \(t\) distribution
The modality of skew \(t\)-distribution
A new familiy of skewed slash distributions generated by the Cauchy kernel
Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations
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
Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
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
Bayesian non-linear regression models with skew-elliptical errors: applications to the classification of longitudinal profiles
scientific article; zbMATH DE number 2154636 (Why is no real title available?)
Portfolio optimization under a generalized hyperbolic skewed \(t\) distribution and exponential utility
Statistical methodology for constructing gestational age-related charts using cross-sectional and longitudinal data: the INTERGROWTH-\(21^{st}\) project as a case study
Joint modelling of location and scale parameters of the t distribution
A proposed mechanism for skewing symmetric distributions
Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
Tests for normality in classes of skew-t alternatives
Margin‐closed vector autoregressive time series models
Multitude of bivariatetdistributions
Flexible distributions as an approach to robustness: the skew-\(t\) case
Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
A review on the univariate skew \(t\)-distributions
On some circular distributions induced by inverse stereographic projection
The skew generalized t (SGT) distribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation
The t family and their close and distant relations
A Bayesian approach to bandwidth selection for multivariate kernel density estimation
An asymptotic expansion of the distribution of Rao's \(U\)-statistic under a general condition
Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
Truncated-exponential skew-symmetric distributions
Generalized Additive Models for Location, Scale and Shape
Skew \(t\) distributions via the sinh-arcsinh transformation

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