Multivariate unified skew-<i>t</i> distributions and their properties

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dc.contributor.authorWang, Kesen
dc.contributor.authorKarling, Maicon J.
dc.contributor.authorArellano-Valle, Reinaldo B.
dc.contributor.authorGenton, Marc G.
dc.date.accessioned2025-01-20T16:04:38Z
dc.date.available2025-01-20T16:04:38Z
dc.date.issued2024
dc.description.abstractThe unified skew-t (SUT) is a flexible parametric multivariate distribution that accounts for skewness and heavy tails in the data. A few of its properties can be found scattered in the literature or in a parameterization that does not follow the original one for unified skew- normal (SUN) distributions, yet a systematic study is lacking. In this work, explicit properties of the multivariate SUT distribution are presented, such as its stochastic representations, moments, SUN-scale mixture representation, linear transformation, additivity, marginal distribution, canonical form, quadratic form, conditional distribution, change of latent dimensions, Mardia measures of multivariate skewness and kurtosis, and non-identifiability issue. These results are given in a parameterization that reduces to the original SUN distribution as a sub- model, hence facilitating the use of the SUT for applications. Several models based on the SUT distribution are provided for illustration.
dc.description.funderKing Abdullah University of Science and Technology (KAUST) in Saudi Arabia
dc.fuente.origenWOS
dc.identifier.doi10.1016/j.jmva.2024.105322
dc.identifier.issn0047-259X
dc.identifier.urihttps://doi.org/10.1016/j.jmva.2024.105322
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/89829
dc.identifier.wosidWOS:001347758700001
dc.language.isoen
dc.revistaJournal of multivariate analysis
dc.rightsacceso restringido
dc.subjectHeavy tail
dc.subjectLatent variable
dc.subjectSelection distribution
dc.subjectSkewness
dc.subjectUnified skew-normal distribution
dc.subjectUnified skew-t distribution
dc.titleMultivariate unified skew-<i>t</i> distributions and their properties
dc.typeartículo
dc.volumen203
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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