A study of the scale mixture of skew normal distribution

• Main Authors: Yu-Chun Lin, 林佑駿
• Other Authors: Nan-Cheng Su
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/66970738646418754371

碩士 === 國立臺北大學 === 統計學系 === 101 === A new class of heavy-tailed distribution, which contains Azzalini and Capitanio's skew-t distribution [Azzalini, A. and Capitanio, A., 2003, Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution. J. Roy. Soc. Ser. B 65, 367-389.] as a special case, is introduced and investigated. The probability density function, distribution function and moments of this new distribution are derived as which allows us to easily compute probabilities, skewness, kurtosis and related measurements. Finally we illustrate the flexibility of this new distribution with simulated data and real data.