Truncated and Limited Skew-Normal and Skew-t Distributions: Properties and an Illustration

被引：11

作者：

Jamalizadeh, A. ^{[2
]}

Pourmousa, R. ^{[2
]}

Balakrishnan, N. ^{[1
]}

机构：

[1] McMaster Univ, Dept Math & Stat, Hamilton, ON L8S 4K1, Canada

[2] Shahid Bahonar Univ, Dept Stat, Kerman, Iran

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2009年 / 38卷 / 16-17期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Likelihood estimation; Limited distributions; Skew-Cauchy distribution; Skew-normal distribution; Skew-t distribution; Truncated distributions; MOMENTS;

D O I：

10.1080/03610910902936109

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The family of skew-normal distributions was discussed formally and popularized by Azzalini (1985, 1986) and since then it has been discussed extensively in the literature. In this article, we consider the truncated and limited forms of skew-normal and skew-t distributions and discuss some of their mathematical properties. We also derive explicit expressions for their cumulative distribution functions, moment generating function, and moments. We then pay special attention to the truncated skew-Cauchy distribution and present the corresponding results. Finally, we illustrate the use of this model in fitting a real-data on the exchange rate between the UK pound and the US dollar.

引用

页码：2653 / 2668

页数：16

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