A skewed truncated t distribution

✍ Scribed by S. Nadarajah; M. Masoom Ali

• Book ID: 104045182
• Publisher: Elsevier Science
• Year: 2004
• Tongue: English
• Weight: 252 KB
• Volume: 40
• Category: Article
• ISSN: 0895-7177
• DOI: 10.1016/j.mcm.2004.08.001

✦ Synopsis

Skewed symmetric distributions have attracted a great deal of attention in the last few years. One of them, the skewed t distribution suffers from limited applicability because of the lack of finite moments. This note proposes an alternative to the skewed t distribution, which we refer to as skewed truncated t distribution. It is defined by the pdf f(z) = 2g(x)G(Ax), where g(.) and G(.) are taken, respectively, to be the pdf and the cdf of a truncated t distribution. The note derives various properties of this distribution, including its moments. (~) 2004 Elsevier Ltd. All rights reserved.