The Asymmetric Alpha-Power Skew-t Distribution

被引：5

作者：

Tovar-Falon, Roger ^{[1
]}

Bolfarine, Heleno ^{[2
]}

Martinez-Florez, Guillermo ^{[1
]}

机构：

[1] Univ Cordoba, Fac Ciencias Basicas, Dept Matemat & Estadist, Monteria 230027, Colombia

[2] Univ Sao Paulo, IME, Dept Estat, BR-1010 Sao Paulo, Brazil

来源：

SYMMETRY-BASEL | 2020年 / 12卷 / 01期

关键词：

alpha-power skew-t distribution; skew-t distribution; power-t distribution; asymmetry; Fisher information matrix; maximum likelihood estimation; EXTENSION;

D O I：

10.3390/sym12010082

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

In this paper, we propose a new asymmetric and heavy-tail model that generalizes both the skew-t and power-t models. Properties of the model are studied in detail. The score functions and the elements of the observed information matrix are given. The process to estimate the parameters in model is discussed by using the maximum likelihood approach. Also, the observed information matrix is shown to be non-singular at the whole parametric space. Two applications to real data sets are reported to demonstrate the usefulness of this new model.

引用

页数：21

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