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Skew t distributions via the sinh-arcsinh transformation

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  • J. Rosco
  • M. Jones
  • Arthur Pewsey

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  • J. Rosco & M. Jones & Arthur Pewsey, 2011. "Skew t distributions via the sinh-arcsinh transformation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 630-652, November.
    • Handle: RePEc:spr:testjl:v:20:y:2011:i:3:p:630-652
    DOI: 10.1007/s11749-010-0222-2
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    References listed on IDEAS

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    1. Boshnakov, Georgi N., 2007. "Some measures for asymmetry of distributions," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1111-1116, June.
    2. Frank Critchley & M. C. Jones, 2008. "Asymmetry and Gradient Asymmetry Functions: Density‐Based Skewness and Kurtosis," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 415-437, September.
    3. M.C. Jones, 2007. "Connecting Distributions with Power Tails on the Real Line, the Half Line and the Interval," International Statistical Review, International Statistical Institute, vol. 75(1), pages 58-69, April.
    4. Branco, Márcia D. & Dey, Dipak K., 2001. "A General Class of Multivariate Skew-Elliptical Distributions," Journal of Multivariate Analysis, Elsevier, vol. 79(1), pages 99-113, October.
    5. Richard L. Smith & J. C. Naylor, 1987. "A Comparison of Maximum Likelihood and Bayesian Estimators for the Three‐Parameter Weibull Distribution," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 36(3), pages 358-369, November.
    6. Yanyuan Ma & Marc G. Genton, 2004. "Flexible Class of Skew‐Symmetric Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 31(3), pages 459-468, September.
    7. 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.
    8. Adelchi Azzalini & Marc G. Genton, 2008. "Robust Likelihood Methods Based on the Skew‐t and Related Distributions," International Statistical Review, International Statistical Institute, vol. 76(1), pages 106-129, April.
    9. 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.
    10. Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
    11. M. Jones, 2004. "Families of distributions arising from distributions of order statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 13(1), pages 1-43, June.
    12. Averous, J. & Fougères, A. -L. & Meste, M., 1996. "Tailweight with respect to the mode for unimodal distributions," Statistics & Probability Letters, Elsevier, vol. 28(4), pages 367-373, August.
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    Cited by:

    1. Robert Staudte, 2014. "Inference for quantile measures of skewness," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(4), pages 751-768, December.
    2. Arthur Pewsey & Toshihiro Abe, 2015. "The sinh-arcsinhed logistic family of distributions: properties and inference," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(3), pages 573-594, June.
    3. Antonio Parisi & B. Liseo, 2018. "Objective Bayesian analysis for the multivariate skew-t model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(2), pages 277-295, June.
    4. Jones, M.C., 2012. "Relationships between distributions with certain symmetries," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1737-1744.
    5. Rui Li & Saralees Nadarajah, 2020. "A review of Student’s t distribution and its generalizations," Empirical Economics, Springer, vol. 58(3), pages 1461-1490, March.

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