Some Statistical Aspects of the Truncated Multivariate Skew-t Distribution

Autor:	Raúl Alejandro Morán-Vásquez, Edwin Zarrazola, Daya K. Nagar
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	marginal distribution multivariate skew-t distribution rejection sampling truncated distribution skewness Mathematics QA1-939
Zdroj:	Mathematics, Vol 10, Iss 15, p 2793 (2022)
Druh dokumentu:	article
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:	Directory of Open Access Journals
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