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Some Statistical Aspects of the Truncated Multivariate Skew- t Distribution

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  • Raúl Alejandro Morán-Vásquez

    (Instituto de Matemáticas, Universidad de Antioquia, Calle 67 No. 53-108, Medellín 050010, Colombia
    These authors contributed equally to this work.)

  • Edwin Zarrazola

    (Instituto de Matemáticas, Universidad de Antioquia, Calle 67 No. 53-108, Medellín 050010, Colombia
    These authors contributed equally to this work.)

  • Daya K. Nagar

    (Instituto de Matemáticas, Universidad de Antioquia, Calle 67 No. 53-108, Medellín 050010, Colombia
    These authors contributed equally to this work.)

Abstract

The multivariate skew- t distribution plays an important role in statistics since it combines skewness with heavy tails, a very common feature in real-world data. A generalization of this distribution is the truncated multivariate skew- t distribution which contains the truncated multivariate t distribution and the truncated multivariate skew-normal distribution as special cases. In this article, we study several distributional properties of the truncated multivariate skew- t distribution involving affine transformations, marginalization, and conditioning. The generation of random samples from this distribution is described.

Suggested Citation

  • Raúl Alejandro Morán-Vásquez & Edwin Zarrazola & Daya K. Nagar, 2022. "Some Statistical Aspects of the Truncated Multivariate Skew- t Distribution," Mathematics, MDPI, vol. 10(15), pages 1-14, August.
    • Handle: RePEc:gam:jmathe:v:10:y:2022:i:15:p:2793-:d:881773
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    1. Reinaldo B. Arellano-Valle & Marc G. Genton, 2010. "Multivariate extended skew-t distributions and related families," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 201-234.
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    10. Galarza, Christian E. & Matos, Larissa A. & Castro, Luis M. & Lachos, Victor H., 2022. "Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
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    1. Raúl Alejandro Morán-Vásquez & Edwin Zarrazola & Daya K. Nagar, 2023. "Some Theoretical and Computational Aspects of the Truncated Multivariate Skew-Normal/Independent Distributions," Mathematics, MDPI, vol. 11(16), pages 1-16, August.

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