Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution
Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution
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DOI：
10.1111/1467-9868.00391
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发表时间：
2003-01-01
影响因子：
5.8
通讯作者：
Capitanio, A
中科院分区：
文献类型：
--
作者：
Azzalini, A;Capitanio, A
研究了扰动满足弱形式的多元对称性的多元密度，并生成一整套非对称密度的一般方法。该方法是足够普遍的，包括最近的一些建议在文献中，各种相关的偏正态分布。斜椭圆密度的特殊情况下进行了详细研究，建立与现有的类似工作的连接。本文的最后一部分进一步专门讨论了多元斜t-密度的一种形式。这种分布的似然推断检查，并说明了数值例子。
A fairly general procedure is studied to perturb a multivariate density satisfying a weak form of multivariate symmetry, and to generate a whole set of non-symmetric densities. The approach is sufficiently general to encompass some recent proposals in the literature, variously related to the skew normal distribution. The special case of skew elliptical densities is examined in detail, establishing connections with existing similar work. The final part of the paper specializes further to a form of multivariate skew t-density. Likelihood inference for this distribution is examined, and it is illustrated with numerical examples.