A generalised Student’s t-distribution
We introduce a natural extension of the Student’s t-distribution that also allows for a negative shape parameter or more commonly referred to as the degrees of freedom of this distribution. This distribution unifies all types of tail decay and allows extra flexibility in the kurtosis of the t-distribution. We illustrate the use of this distribution with an application to pharmaceutical data.
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Volume (Year): 83 (2013)
Issue (Month): 1 ()
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- Kotz,Samuel & Nadarajah,Saralees, 2004. "Multivariate T-Distributions and Their Applications," Cambridge Books, Cambridge University Press, number 9780521826549, October.
- 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.
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- Tom Doan, "undated". "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
- Stephen Walker, 1999. "The uniform power distribution," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(4), pages 509-517.
- McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(03), pages 428-457, December. Full references (including those not matched with items on IDEAS)
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