The Alpha-Beta Skew Generalized t Distribution: Properties and Applications

In this paper, we propose a new distribution, namely alpha-beta-skew generalized t distribution. The proposed distribution is really flexible and includes as special models some important distributions like Normal, t-student, Cauchy and etc as its marginal component distributions. It features a probability density function with up to three modes. The moment generating function as well as the main moments are provided. Inference is based on a usual maximum-likelihood estimation approach and a small Monte Carlo simulation is conducted for studying the asymptotic properties of the maximum-likelihood estimate. The usefulness of the new model is illustrated in a real data.