Brazilian Journal of Probability and Statistics

Bimodal extension based on the skew-$t$-normal distribution

Mehdi Amiri, Héctor W. Gómez, Ahad Jamalizadeh, and Mina Towhidi

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Abstract

In this paper, a skew and uni-/bi-modal extension of the Student-$t$ distribution is considered. This model is more flexible and has wider ranges of skewness and kurtosis than the other skew distributions in literature. Fisher information matrix for the proposed model and some submodels are derived. With a simulation study and some real data sets, applicability of the proposed models are illustrated.

Article information

Source
Braz. J. Probab. Stat., Volume 33, Number 1 (2019), 2-23.

Dates
Received: April 2015
Accepted: August 2017
First available in Project Euclid: 14 January 2019

Permanent link to this document
https://projecteuclid.org/euclid.bjps/1547456483

Digital Object Identifier
doi:10.1214/17-BJPS372

Mathematical Reviews number (MathSciNet)
MR3898719

Zentralblatt MATH identifier
07031061

Keywords
Skewness kurtosis bimodal density Fisher information matrix maximum likelihood estimation

Citation

Amiri, Mehdi; Gómez, Héctor W.; Jamalizadeh, Ahad; Towhidi, Mina. Bimodal extension based on the skew-$t$-normal distribution. Braz. J. Probab. Stat. 33 (2019), no. 1, 2--23. doi:10.1214/17-BJPS372. https://projecteuclid.org/euclid.bjps/1547456483


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