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Multivariate extended skew-t distributions and related families

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  • Reinaldo B. Arellano-Valle
  • Marc G. Genton
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    File URL: ftp://metron.sta.uniroma1.it/RePEc/articoli/2010-3-1.pdf
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    Article provided by Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome in its journal Metron.

    Volume (Year): LXVIII (2010)
    Issue (Month): 3 ()
    Pages: 201-234

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    Handle: RePEc:mtn:ancoec:100301

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Reinaldo B. Arellano-Valle, 2010. "On the information matrix of the multivariate skew-t model," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 371-386.
    2. Adelchi Azzalini & Marc G. Genton, 2008. "Robust Likelihood Methods Based on the Skew-"t" and Related Distributions," International Statistical Review, International Statistical Institute, vol. 76(1), pages 106-129, 04.
    3. Adelchi Azzalini & Antonella Capitanio, 2003. "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew "t"-distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 367-389.
    4. Branco, Márcia D. & Dey, Dipak K., 2001. "A General Class of Multivariate Skew-Elliptical Distributions," Journal of Multivariate Analysis, Elsevier, vol. 79(1), pages 99-113, October.
    5. A. Capitanio & A. Azzalini & E. Stanghellini, 2003. "Graphical models for skew-normal variates," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 30(1), pages 129-144.
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    Cited by:
    1. Adcock, C.J., 2014. "Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution," European Journal of Operational Research, Elsevier, vol. 234(2), pages 392-401.
    2. Kim, Hyoung-Moon & Ryu, Duchwan & Mallick, Bani K. & Genton, Marc G., 2014. "Mixtures of skewed Kalman filters," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 228-251.
    3. Cabral, Celso Rômulo Barbosa & da-Silva, Cibele Queiroz & Migon, Helio S., 2014. "A dynamic linear model with extended skew-normal for the initial distribution of the state parameter," Computational Statistics & Data Analysis, Elsevier, vol. 74(C), pages 64-80.
    4. Sharon Lee & Geoffrey McLachlan, 2013. "On mixtures of skew normal and skew $$t$$ -distributions," Advances in Data Analysis and Classification, Springer, vol. 7(3), pages 241-266, September.

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