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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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  • 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.
  • Handle: RePEc:mtn:ancoec:100301
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    File URL: ftp://metron.sta.uniroma1.it/RePEc/articoli/2010-3-1.pdf
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    References listed on IDEAS

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    1. 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.
    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, April.
    3. 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.
    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. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. repec:bla:scjsta:v:44:y:2017:i:1:p:21-45 is not listed on IDEAS
    2. Seokho Lee & Marc G. Genton & Reinaldo B. Arellano-Valle, 2010. "Perturbation of Numerical Confidential Data via Skew-t Distributions," Management Science, INFORMS, vol. 56(2), pages 318-333, February.
    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. Padoan, Simone A., 2011. "Multivariate extreme models based on underlying skew-t and skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 977-991, May.
    5. Adcock, C J & Meade, N, 2017. "Using parametric classification trees for model selection with applications to financial risk management," European Journal of Operational Research, Elsevier, vol. 259(2), pages 746-765.
    6. Zinoviy Landsman & Udi Makov & Tomer Shushi, 2017. "Extended Generalized Skew-Elliptical Distributions and their Moments," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 79(1), pages 76-100, February.
    7. Ogundimu, Emmanuel O. & Hutton, Jane L., 2015. "On the extended two-parameter generalized skew-normal distribution," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 142-148.
    8. Emmanuel O. Ogundimu & Jane L. Hutton, 2016. "A Sample Selection Model with Skew-normal Distribution," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 172-190, March.
    9. Sharon Lee & Geoffrey McLachlan, 2013. "On mixtures of skew normal and skew $$t$$ -distributions," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 7(3), pages 241-266, September.
    10. 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.
    11. 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.

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