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Skewed distributions generated by the Student's t kernel

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  • Nadarajah Saralees

    (School of Mathematics, University of Manchester, Manchester M60 1QD, UK. Email: saralees.nadarajah@manchester.ac.uk)

Abstract

Following the recent paper by A. K. Gupta, F.-C. Chang and W. J. Huang [Some skew-symmetric models. Random Operators and Stochastic Equations 10 (2002), 133–140], we construct skew pdfs of the form 2f(u)G(λu), where f is taken to be a Student's t pdf while the cdf G is taken to come from one of normal, Student's t, Cauchy, Laplace, logistic or uniform distribution. The properties of the resulting distributions are studied. In particular, expressions for the nth moment and the characteristic function are derived. We also provide graphical illustrations and quantifications of the range of possible values of skewness and kurtosis.

Suggested Citation

  • Nadarajah Saralees, 2008. "Skewed distributions generated by the Student's t kernel," Monte Carlo Methods and Applications, De Gruyter, vol. 13(5-6), pages 389-404, January.
    • Handle: RePEc:bpj:mcmeap:v:13:y:2008:i:5-6:p:389-404:n:4
    DOI: 10.1515/mcma.2007.021
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    References listed on IDEAS

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    1. Nadarajah, Saralees & Kotz, Samuel, 2003. "Skewed distributions generated by the normal kernel," Statistics & Probability Letters, Elsevier, vol. 65(3), pages 269-277, November.
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