A Skew Extension of the T-Distribution, with Applications

From MaRDI portal
Publication:4673758

DOI10.1111/1467-9868.00378zbMath1063.62013OpenAlexW2034661498MaRDI QIDQ4673758

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



Related Items

Margin‐closed vector autoregressive time series models, Skew selection for factor stochastic volatility models, Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers, Mixtures of skew-\(t\) factor analyzers, A new skew logistic distribution: properties and applications, Skew-normal/independent linear mixed models for censored responses with applications to HIV viral loads, Robust Likelihood Methods Based on the Skew-t and Related Distributions, The large-sample distribution of the most fundamental of statistical summaries, A robust approach to joint modeling of mean and scale covariance for longitudinal data, Distortion Risk Measures Under Skew Normal Settings, MODEL SELECTION AND AVERAGING OF HEALTH COSTS IN EPISODE TREATMENT GROUPS, On some study of skew-t distributions, Pricing electricity day-ahead cap futures with multifactor skew-t densities, A proposed mechanism for skewing symmetric distributions, Objective Bayesian analysis for the multivariate skew-\(t\) model, Asymmetry and Gradient Asymmetry Functions: Density‐Based Skewness and Kurtosis, Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations, Truncated-exponential skew-symmetric distributions, Log-gamma-generated families of distributions, A beta-epsilon distribution: properties and applications, On parameter orthogonality in symmetric and skew models, Families of distributions arising from distributions of order statistics, Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution, Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions, The exp-\(G\) family of probability distributions, Robust model-based clustering via mixtures of skew-\(t\) distributions with missing information, Semiparametric models and inference for the effect of a treatment when the outcome is nonnegative with clumping at zero, Shrinkage estimation of a location parameter for a multivariate skew elliptic distribution, The odd log-logistic Student \(t\) distribution: theory and applications, Computational tools for comparing asymmetric GARCH models via Bayes factors, Inference for grouped data with a truncated skew-Laplace distribution, On the performance of the flexible maximum entropy distributions within partially adaptive estimation, A Markov-switching regression model with non-Gaussian innovations: estimation and testing, Generalized beta-generated distributions, Unnamed Item, A generalized skewness statistic for stationary ergodic martingale differences, A skew extension of the slash distribution via beta-normal distribution, PORT Hill and Moment Estimators for Heavy-Tailed Models, One-stepM-estimators: Jones and Faddy's skewedt-distribution, Rejoinder, Measures of biomarker dependence using a copula-based multivariate epsilon–skew–normal family of distributions, Modelling exchange rate returns: which flexible distribution to use?, Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection, Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study, A family of skew distributions with mode-invariance through transformation of scale, Location-scale mixture of skew-elliptical distributions: looking at the robust modeling, A robust factor analysis model using the restricted skew-\(t\) distribution, The skew generalizedtdistribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation, Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach, An alternative multivariate skew-slash distribution, Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study, A parametric regression framework for the skew sinh-arcsinh \(t\) distribution, Multitude of bivariatetdistributions, Robust statistical modelling using the multivariate skew t distribution with complete and incomplete data, A Bayesian approach to bandwidth selection for multivariate kernel density estimation, Bayesian non-linear regression models with skew-elliptical errors: applications to the classification of longitudinal profiles, Skew \(t\) distributions via the sinh-arcsinh transformation, Skew scale mixtures of normal distributions: properties and estimation, Balakrishnan Skew-tDistribution and Associated Statistical Characteristics, Extreme Value Distributions for the Skew-Symmetric Family of Distributions, An asymptotic expansion of the distribution of Rao's \(U\)-statistic under a general condition, BL-GARCH models with elliptical distributed innovations, Flexible Class of Skew-Symmetric Distributions, On some tests of the covariance matrix under general conditions, Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution, The \(t\) family and their close and distant relations, Moments of the generalized hyperbolic distribution, Bayesian mixture modelling in geochronology via Markov chain Monte Carlo, A generalized asymmetric Student-\(t\) distribution with application to financial econometrics, Two-Sided Generalized Exponential Distribution, On Rényi information for ergodic diffusion processes, Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function, Using the Box-Cox t distribution in GAMLSS to model skewness and kurtosis, Multivariate normal mean–variance mixture distribution based on Birnbaum–Saunders distribution, On some circular distributions induced by inverse stereographic projection, Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions, Complete spatial model calibration, On the robustness of an epsilon skew extension for Burr III distribution on the real line, Analysis of multivariate skew normal models with incomplete data, Objective Bayesian Inference for the Half-Normal and Half-tDistributions, Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution, A new extended normal regression model: simulations and applications, Tests for normality in classes of skew-\(t\) alternatives, Portfolio optimization under a generalized hyperbolic skewedtdistribution and exponential utility, On fundamental skew distributions, Joint modelling of location and scale parameters of the t distribution, A New Familiy of Skewed Slash Distributions Generated by the Cauchy Kernel, Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms, Joint regression modeling of location and scale parameters of the skew t distribution with application in soil chemistry data, Modified maximum likelihood estimator under the Jones and Faddy's skew t-error distribution for censored regression model, Heavy or semi-heavy tail, that is the question, The multivariate skew-slash distribution, Bayesian analysis of multivariate stochastic volatility with skew return distribution, A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation, Marginal replacement in multivariate densities, with application to skewing spherically symmetric distributions, The sinh-arcsinhed logistic family of distributions: properties and inference, The Logistic-Uniform Distribution and Its Applications, Generalized Additive Models for Location, Scale and Shape, A bivariate \(F\) distribution with marginals on arbitrary numerator and denominator degrees of freedom, and related bivariate beta and \(t\) distributions, Estimation methods for expected shortfall



Cites Work