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Robust estimation with the skew t2 distribution
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نویسنده
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acitaş s. ,kasap p. ,şenoǧlu b. ,arslan o.
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منبع
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pakistan journal of statistics - 2013 - دوره : 29 - شماره : 4 - صفحه:409 -430
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چکیده
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In this paper,a skew extension of the student's t distribution with two degrees of freedom is used to model data sets that have skewness and heavy-tails. its parameters are estimated using two different approaches based on maximum likelihood estimation method. simulation studies and some real data examples are provided to illustrate the performance of the skew t2 (st2) distribution for robust modeling of the data sets that may have skewness and heavy-tails. © 2013 pakistan journal of statistics.
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کلیدواژه
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Asymmetric distribution; Heavy-tailed distribution; M estimator; MML estimator; Monte carlo simulation
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آدرس
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department of statistics,anadolu university, Turkey, department of statistics,ondokuz mayis university, Turkey, department of statistics,ankara university, Turkey, department of statistics,ankara university, Turkey
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Authors
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