Abstract
In this article we introduce a new generalization of the skew t distribution based on the beta generalized distribution. The new class of distribution, which is called the beta skew t (BST), has the ability of fitting skewed and heavy-tailed data and is more general than the skew t distribution as it contains the skew t distribution as a special case. Related properties of the new distribution, such as moments and the order statistics, are derived. The proposed distribution is applied to real data to illustrate the fitting procedure using the maximum likelihood method and the L-moments method.
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Basalamah, D., Ning, W. & Gupta, A. The beta skew t distribution and its properties. J Stat Theory Pract 12, 837–860 (2018). https://doi.org/10.1080/15598608.2018.1481468
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DOI: https://doi.org/10.1080/15598608.2018.1481468
Keywords
- Beta skew t distribution
- skew normal distribution
- heavy-tailed data
- maximal likelihood estimate
- L-moments