A skew extension of the t-distribution, with applications

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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.

Keywords: Beta distribution; Likelihood inference; Robustness; Skewness; Student's t-distribution

Document Type: Research Article

DOI: http://dx.doi.org/10.1111/1467-9868.00378

Affiliations: The Open University, Milton Keynes, UK

Publication date: February 1, 2003

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