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A skew extension of the t-distribution, with applications
Authors:M. C. Jones  M. J. Faddy
Affiliation:The Open University, Milton Keynes, UK; and University of Birmingham, UK
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.
Keywords:Beta distribution    Likelihood inference    Robustness    Skewness    Student's t-distribution
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