A generalised Student's t-distribution

I Papastathopoulos, JA Tawn

Research output: Contribution to journalArticle (Academic Journal)

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 languageEnglish
Pages (from-to)70-77
Number of pages8
JournalStatistics and Probability Letters
Volume83
Issue number1
DOIs
Publication statusPublished - Jan 2013

Keywords

  • Generalised t-distribution;

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