Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
권호 표지

On a Skew-t Distribution

  • Kim, Hea-Jung (Department of Statistics, Dongguk University, Seoul Korea)
  • Published : 2001.12.01
Download PDF
⟨ Previous Next ⟩

Abstract

In this paper we propose a family of skew- f distributions. The family is derived by a scale mixtures of skew-normal distributions introduced by Azzalini (1985) and Henze (1986). The salient features of the family are mathematical tractability and strict inclusion of the normal law. Further it includes a shape parameter, to some extent, controls the index of skewness. Necessary theory involved in deriving the family of distributions is provided and main properties of the family are also studied.

Keywords

References

  1. Psychometrica v.58 The nontruncated marginal of a truncated bivariate normal distribution arnld,B.C.;Beaver,R.J.;Groeneveld,R.A.;Meeker,W.Q.
  2. Scandinavian Journal of Statistics v.12 A class of distributions which includes the normal ones Azzalini,A.
  3. Biometrika v.83 The multivariate skew-normal distribution Azzalini,A.;Valle,A.D.
  4. Journal of the Ameican Statistical Association v.94 A new skewed link model for dichotomous quantal response model Chen,M.H.;Dey,D.K.;Shao,Q.M.
  5. Scandinavian Journal of Statistics v.13 A probabilistic representation of the 'Skewed-normal' distribution Henze,N.
  6. Journal of the Korean Statistical Society v.30 Bayesian analysis of a new skewed multivariate probit model for correlated binary response data Kim,H.J.
  7. Parametric Statistical Inference Zacks,S.