Large-Sample Inference for the Epsilon-Skew-t Distribution

The main object of this article is to discuss maximum likelihood inference for the epsilon-skew-t distribution. Special cases of this distribution include the epsilon-skew-Cauchy and the epsilon-skew-normal distributions. We derive the information matrix for the maximum likelihood estimators. The approach is applied to a data set presenting significant amount of skewness and heavy tails. In the application we consider the epsilon-skew-t distribution with known and unknown degrees of freedom parameter, showing great flexibility in adjusting to skew data with heavy tails.