Journal
JOURNAL OF MULTIVARIATE ANALYSIS
Volume 113, Issue -, Pages 73-90Publisher
ELSEVIER INC
DOI: 10.1016/j.jmva.2011.05.016
Keywords
Information matrix; Parameterization; Skew-t distribution; Approximation of moments
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Funding
- Italian Ministry of University and Research [2006132978]
- FONDECYT, Chile [1085241]
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The skew-t family, in its univariate and multivariate versions, is a parametric family of probability distributions which is currently under intense investigation because of several appealing properties. The present paper addresses the question of the choice of its parameterization, and more generally of the selection of quantities of interest associated to this distribution. (C) 2011 Elsevier Inc. All rights reserved.
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