Contreras-Reyes, Javier E. - In: Physica A: Statistical Mechanics and its Applications 395 (2014) C, pp. 200-208
An asymptotic expression for the Kullback–Leibler (KL) divergence measure of multivariate skew-t distributions (MST) is derived. This novel class of flexible family distributions incorporates a shape and degree of freedom parameters, in order to manipulate the skewness and heavy-tail presence...