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Figure S1. The Jeffreys prior (solid curve) and its Student's t approximation (dashed curve), both denoted by p(α), for the shape parameter α of the linear skew-t model with ν = 3, 5, 10, 100.

Figure S2. The Jeffreys prior (solid curve) and its Student's t approximation (dashed, dotted, dashed-dotted curves), both denoted by p(α), for the shape parameter α of the nonlinear skew-t model with ν = 2, 4, 10.

Table S1. Root mean squared error (RMSE) for the MLE and MAP estimator of the shape parameter α (all samples) of a nonlinear skew-t distribution.

Table S2. Root relative mean squared error (RRELMSE) for the MLE and MAP estimator of the degrees of freedom parameter ν (only samples with finite MLE) of a nonlinear skew-t distribution.

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