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Skew t distributions via the sinh-arcsinh transformation

Author

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  • J. Rosco

    ()

  • M. Jones

    ()

  • Arthur Pewsey

    ()

Abstract

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Suggested Citation

  • J. Rosco & M. Jones & Arthur Pewsey, 2011. "Skew t distributions via the sinh-arcsinh transformation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 630-652, November.
  • Handle: RePEc:spr:testjl:v:20:y:2011:i:3:p:630-652
    DOI: 10.1007/s11749-010-0222-2
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    References listed on IDEAS

    as
    1. Boshnakov, Georgi N., 2007. "Some measures for asymmetry of distributions," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1111-1116, June.
    2. M. C. Jones & M. J. Faddy, 2003. "A skew extension of the "t"-distribution, with applications," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 159-174.
    3. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    4. Frank Critchley & M. C. Jones, 2008. "Asymmetry and Gradient Asymmetry Functions: Density-Based Skewness and Kurtosis," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 415-437.
    5. 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.
    6. M.C. Jones, 2007. "Connecting Distributions with Power Tails on the Real Line, the Half Line and the Interval," International Statistical Review, International Statistical Institute, vol. 75(1), pages 58-69, April.
    7. 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.
    8. Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
    9. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
    10. Yanyuan Ma & Marc G. Genton, 2004. "Flexible Class of Skew-Symmetric Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 31(3), pages 459-468.
    11. Averous, J. & Fougères, A. -L. & Meste, M., 1996. "Tailweight with respect to the mode for unimodal distributions," Statistics & Probability Letters, Elsevier, vol. 28(4), pages 367-373, August.
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    Cited by:

    1. Jones, M.C., 2012. "Relationships between distributions with certain symmetries," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1737-1744.
    2. Arthur Pewsey & Toshihiro Abe, 2015. "The sinh-arcsinhed logistic family of distributions: properties and inference," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(3), pages 573-594, June.

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