• Login
    View Item 
    •   Home
    • Office of Sponsored Research (OSR)
    • KAUST Funded Research
    • Publications Acknowledging KAUST Support
    • View Item
    •   Home
    • Office of Sponsored Research (OSR)
    • KAUST Funded Research
    • Publications Acknowledging KAUST Support
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of KAUSTCommunitiesIssue DateSubmit DateThis CollectionIssue DateSubmit Date

    My Account

    Login

    Quick Links

    Open Access PolicyORCID LibguideTheses and Dissertations LibguideSubmit an Item

    Statistics

    Display statistics

    Multivariate extended skew-t distributions and related families

    • CSV
    • RefMan
    • EndNote
    • BibTex
    • RefWorks
    Type
    Article
    Authors
    Arellano-Valle, Reinaldo B.
    Genton, Marc G. cc
    KAUST Grant Number
    KUS-C1-016-04
    Date
    2012-12-22
    Online Publication Date
    2012-12-22
    Print Publication Date
    2010-12
    Permanent link to this record
    http://hdl.handle.net/10754/598921
    
    Metadata
    Show full item record
    Abstract
    A class of multivariate extended skew-t (EST) distributions is introduced and studied in detail, along with closely related families such as the subclass of extended skew-normal distributions. Besides mathematical tractability and modeling flexibility in terms of both skewness and heavier tails than the normal distribution, the most relevant properties of the EST distribution include closure under conditioning and ability to model lighter tails as well. The first part of the present paper examines probabilistic properties of the EST distribution, such as various stochastic representations, marginal and conditional distributions, linear transformations, moments and in particular Mardia’s measures of multivariate skewness and kurtosis. The second part of the paper studies statistical properties of the EST distribution, such as likelihood inference, behavior of the profile log-likelihood, the score vector and the Fisher information matrix. Especially, unlike the extended skew-normal distribution, the Fisher information matrix of the univariate EST distribution is shown to be non-singular when the skewness is set to zero. Finally, a numerical application of the conditional EST distribution is presented in the context of confidential data perturbation.
    Citation
    Arellano-Valle RB, Genton MG (2010) Multivariate extended skew-t distributions and related families. METRON 68: 201–234. Available: http://dx.doi.org/10.1007/BF03263536.
    Sponsors
    The first author was partially supported by grant FONDECYT 1085241-Chile. The second authorwas partially supported by NSF grants DMS-0504896, CMG ATM-0620624, and by Award No.KUS-C1-016-04, made by King Abdullah University of Science and Technology (KAUST).
    Publisher
    Springer Nature
    Journal
    METRON
    DOI
    10.1007/BF03263536
    ae974a485f413a2113503eed53cd6c53
    10.1007/BF03263536
    Scopus Count
    Collections
    Publications Acknowledging KAUST Support

    entitlement

     
    DSpace software copyright © 2002-2022  DuraSpace
    Quick Guide | Contact Us | KAUST University Library
    Open Repository is a service hosted by 
    Atmire NV
     

    Export search results

    The export option will allow you to export the current search results of the entered query to a file. Different formats are available for download. To export the items, click on the button corresponding with the preferred download format.

    By default, clicking on the export buttons will result in a download of the allowed maximum amount of items. For anonymous users the allowed maximum amount is 50 search results.

    To select a subset of the search results, click "Selective Export" button and make a selection of the items you want to export. The amount of items that can be exported at once is similarly restricted as the full export.

    After making a selection, click one of the export format buttons. The amount of items that will be exported is indicated in the bubble next to export format.