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A skew extension of the t-distribution, with applications


M. C. Jones, Department of Statistics, Faculty of Mathematics and Computing, The Open University, Walton Hall, Milton Keynes, MK7 6AA, UK.


Summary. A tractable skew t-distribution on the real line is proposed. This includes as a special case the symmetric t-distribution, and otherwise provides skew extensions thereof. The distribution is potentially useful both for modelling data and in robustness studies. Properties of the new distribution are presented. Likelihood inference for the parameters of this skew t-distribution is developed. Application is made to two data modelling examples.