The centred parameterization and related quantities of the skew-t distribution

DOI10.1016/J.JMVA.2011.05.016zbMATH Open1253.60012OpenAlexW2048294781MaRDI QIDQ690959FDOQ690959

Adelchi Azzalini, Reinaldo B. Arellano-Valle

Publication date: 29 November 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.05.016

zbMATH Keywords

information matrixparameterizationskew-\(t\) distributionapproximation of moments

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cited In (14)

• Skew-symmetric distributions and Fisher information: the double sin of the skew-normal
• A new class of symmetric distributions including the elliptically symmetric logistic
• Visualization and statistical modeling of financial big data: double-log modeling with skew-symmetric error distributions
• Generalized autoregressive score models based on sinh-arcsinh distributions for time series analysis
• Bayesian Multivariate Distributional Regression With Skewed Responses and Skewed Random Effects
• Heavy or semi-heavy tail, that is the question
• Testing for sub-models of the skew \(t\)-distribution
• A new skew logistic distribution: properties and applications
• A Non‐Gaussian Spatio‐Temporal Model for Daily Wind Speeds Based on a Multi‐Variate Skew‐t Distribution
• Nonparametric two-sample estimation of location and scale parameters from empirical characteristic functions
• Sparsity-regularized skewness estimation for the multivariate skew normal and multivariate skew \(t\) distributions
• Scale mixtures of multivariate centered skew-normal distributions
• Unifying compactly supported and Matérn covariance functions in spatial statistics
• Appropriate use of parametric and nonparametric methods in estimating regression models with various shapes of errors

Uses Software

• sn

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