The centred parameterization and related quantities of the skew-t distribution

JOURNAL OF MULTIVARIATE ANALYSIS

卷:113

Article

Arellano-Valle, Reinaldo B.²  Azzalini, Adelchi¹ 

[1] Univ Padua, Dipartimento Sci Stat, I-35100 Padua, Italy

[2] Pontificia Univ Catolica Chile, Dept Estadist, Santiago, Chile

关键词: Information matrix;    Parameterization;    Skew-t distribution;    Approximation of moments;   

DOI  :  10.1016/j.jmva.2011.05.016

来源: Elsevier

【 摘 要 】

The skew-t family, in its univariate and multivariate versions, is a parametric family of probability distributions which is currently under intense investigation because of several appealing properties. The present paper addresses the question of the choice of its parameterization, and more generally of the selection of quantities of interest associated to this distribution. (C) 2011 Elsevier Inc. All rights reserved.

【 授权许可】

Free