Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew t-Distribution

@article{azza:capi:2003, abstract = {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.}, author = {Azzalini, Adelchi and Capitanio, Antonella}, citeulike-article-id = {3824586}, doi = {10.2307/3647510}, issn = {13697412}, journal = {Journal of the Royal Statistical Society. Series B (Statistical Methodology)}, keywords = {multivariate}, number = {2}, pages = {367--389}, posted-at = {2008-12-26 17:23:16}, priority = {2}, publisher = {Blackwell Publishing for the Royal Statistical Society}, title = {Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew t-Distribution}, url = {http://dx.doi.org/10.2307/3647510}, volume = {65}, year = {2003} }

TY - JOUR ID - azza:capi:2003 L3 - citeulike-article-id:3824586 N2 - 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. IS - 2 JF - Journal of the Royal Statistical Society. Series B (Statistical Methodology) SN - 13697412 EP - 389 TI - Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew t-Distribution PB - Blackwell Publishing for the Royal Statistical Society VL - 65 SP - 367 KW - multivariate AU - Azzalini, Adelchi AU - Capitanio, Antonella PY - 2003/// UR - http://dx.doi.org/10.2307/3647510 ER -