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A skew extension of the t‐distribution, with applications

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  • M. C. Jones
  • M. J. Faddy

Abstract

Summary. A tractable skew t‐distribution on the real line is proposed. This includes as a special case the symmetric t‐distribution, and otherwise provides skew extensions thereof. The distribution is potentially useful both for modelling data and in robustness studies. Properties of the new distribution are presented. Likelihood inference for the parameters of this skew t‐distribution is developed. Application is made to two data modelling examples.

Suggested Citation

  • M. C. Jones & M. J. Faddy, 2003. "A skew extension of the t‐distribution, with applications," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 159-174, February.
    • Handle: RePEc:bla:jorssb:v:65:y:2003:i:1:p:159-174
    DOI: 10.1111/1467-9868.00378
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    References listed on IDEAS

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    1. Adelchi Azzalini & Antonella Capitanio, 2003. "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t‐distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 367-389, May.
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