Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 395, Issue -, Pages 200-208Publisher
ELSEVIER
DOI: 10.1016/j.physa.2013.10.035
Keywords
Kullback-Leibler divergence; Skew-t; Skew-normal; Heavy tails; Skewness
Categories
Funding
- Instituto de Fomento Pesquero (IFOP), Valparaiso, Chile
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An asymptotic expression for the Kullback-Leibler (KL) divergence measure of multivariate skew-t distributions (MST) is derived. This novel class of flexible family distributions incorporates a shape and degree of freedom parameters, in order to manipulate the skewness and heavy-tail presence of the data, respectively. The quadratic form expressions of MST models are used to provide asymptotic measures. Additional inequalities for MST entropy and simulation studies are reported. Finally, the expected values of the KL divergence of a sample correlation matrix obtained by Pearson's correlation coefficient are discussed. (C) 2013 Elsevier B.V. All rights reserved.
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