Some Statistical Aspects of the Truncated Multivariate Skew-t Distribution

Autor:	Daya Nagar, Raúl Alejandro Morán Vásquez, Edwin Zarrazola
Rok vydání:	2022
Předmět:	General Mathematics Computer Science (miscellaneous) Engineering (miscellaneous) marginal distribution multivariate skew-t distribution rejection sampling truncated distribution skewness
Zdroj:	Mathematics; Volume 10; Issue 15; Pages: 2793
ISSN:	2227-7390
DOI:	10.3390/math10152793
Popis:	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.
Databáze:	OpenAIRE
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