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

Reinaldo B. Arellano-Valle and Adelchi Azzalini

Journal of Multivariate Analysis, 2013, vol. 113, issue C, 73-90

Abstract: 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.

Keywords: Information matrix; Parameterization; Skew-t distribution; Approximation of moments (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.jmva.2011.05.016

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