论文信息 - Skewed distributions generated by the Student's t kernel

Skewed distributions generated by the Student's t kernel

Abstract Following the recent paper by A. K. Gupta, F.-C. Chang and W. J. Huang [Some skew-symmetric models. Random Operators and Stochastic Equations 10 (2002), 133–140], we construct skew pdfs of the form 2f(u)G(λu), where f is taken to be a Student's t pdf while the cdf G is taken to come from one of normal, Student's t, Cauchy, Laplace, logistic or uniform distribution. The properties of the resulting distributions are studied. In particular, expressions for the nth moment and the characteristic function are derived. We also provide graphical illustrations and quantifications of the range of possible values of skewness and kurtosis.

Saralees Nadarajah | S. Nadarajah

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