A generalised Student's t-distribution

I Papastathopoulos; JA Tawn

doi:10.1016/j.spl.2012.09.002,

A generalised Student's t-distribution

I Papastathopoulos, JA Tawn

School of Mathematics

Research output: Contribution to journal › Article (Academic Journal) › peer-review

8 Citations (Scopus)

Abstract

We introduce a natural extension of the Student’s t-distribution that also allows for a negative shape parameter or more commonly referred to as the degrees of freedom of this distribution. This distribution unifies all types of tail decay and allows extra flexibility in the kurtosis of the t-distribution. We illustrate the use of this distribution with an application to pharmaceutical data.

Original language	English
Pages (from-to)	70-77
Number of pages	8
Journal	Statistics and Probability Letters
Volume	83
Issue number	1
DOIs	https://doi.org/10.1016/j.spl.2012.09.002,
Publication status	Published - Jan 2013

Keywords

Generalised t-distribution;

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AB - We introduce a natural extension of the Student’s t-distribution that also allows for a negative shape parameter or more commonly referred to as the degrees of freedom of this distribution. This distribution unifies all types of tail decay and allows extra flexibility in the kurtosis of the t-distribution. We illustrate the use of this distribution with an application to pharmaceutical data.

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JO - Statistics and Probability Letters

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A generalised Student's t-distribution

Abstract

Keywords

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