The centred parameterization and related quantities of the skew-t distribution

The skew-t family, in its univariate and multivariate versions, is a parametric family of probability distributions which is currently under intense investigation because of several appealing properties. The present paper addresses the question of the choice of its parameterization, and more generally of the selection of quantities of interest associated to this distribution.

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Year of publication:	2013
Authors:	Arellano-Valle, Reinaldo B. ; Azzalini, Adelchi
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 113.2013, C, p. 73-90
Publisher:	Elsevier
Subject:	Information matrix \| Parameterization \| Skew-t distribution \| Approximation of moments

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010588055