Journal
MATHEMATICS
Volume 10, Issue 15, Pages -Publisher
MDPI
DOI: 10.3390/math10152793
Keywords
marginal distribution; multivariate skew-t distribution; rejection sampling; truncated distribution; skewness
Categories
Funding
- Comite para el Desarrollo de la Investigacion-CODI, Universidad de Antioquia [2018-21991]
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The multivariate skew-t distribution is important in statistics as it combines skewness with heavy tails, which are common in real-world data. This article studies various distributional properties of the truncated multivariate skew-t distribution and provides a method for generating random samples from this distribution.
The multivariate skew-t distribution plays an important role in statistics since it combines skewness with heavy tails, a very common feature in real-world data. A generalization of this distribution is the truncated multivariate skew-t distribution which contains the truncated multivariate t distribution and the truncated multivariate skew-normal distribution as special cases. In this article, we study several distributional properties of the truncated multivariate skew-t distribution involving affine transformations, marginalization, and conditioning. The generation of random samples from this distribution is described.
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