Some Statistical Aspects of the Truncated Multivariate Skew- t Distribution

Raúl Alejandro Morán-Vásquez (), Edwin Zarrazola and Daya K. Nagar
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Raúl Alejandro Morán-Vásquez: Instituto de Matemáticas, Universidad de Antioquia, Calle 67 No. 53-108, Medellín 050010, Colombia
Edwin Zarrazola: Instituto de Matemáticas, Universidad de Antioquia, Calle 67 No. 53-108, Medellín 050010, Colombia
Daya K. Nagar: Instituto de Matemáticas, Universidad de Antioquia, Calle 67 No. 53-108, Medellín 050010, Colombia

Mathematics, 2022, vol. 10, issue 15, 1-14

Abstract: The multivariate skew- t distribution plays an important role in statistics since it combines skewness with heavy tails, a very common feature in real-world data. A generalization of this distribution is the truncated multivariate skew- t distribution which contains the truncated multivariate t distribution and the truncated multivariate skew-normal distribution as special cases. In this article, we study several distributional properties of the truncated multivariate skew- t distribution involving affine transformations, marginalization, and conditioning. The generation of random samples from this distribution is described.

Keywords: marginal distribution; multivariate skew-t distribution; rejection sampling; truncated distribution; skewness (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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