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An accurate, tractable, and analytically integrable polynomial expansion of the skewed Student’s t-distribution

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  • Liborio I. Costa

Abstract

An integrable polynomial expansion is derived for the skewed Student’s t-distribution. Analytic integration of the density function results in a polynomial expression for the cumulative distribution function too, which is easily manageable from a numerical and mathematical point of view and enables computing quantiles with minimum numerical effort.

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  • Liborio I. Costa, 2018. "An accurate, tractable, and analytically integrable polynomial expansion of the skewed Student’s t-distribution," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(1), pages 239-246, January.
    • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:1:p:239-246
    DOI: 10.1080/03610926.2017.1301478
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