Robust estimation with the skew t2 distribution

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 t(2) (ST2) distribution for robust modeling of the data sets that may have skewness and heavy-tails.

ACITAS, SUKRU/0000-0002-4131-0086; Senoglu, Birdal/0000-0003-3707-2393; arslan, olcay/0000-0002-7067-4997

WOS: 000328500300005

Country

Turkey

Related Organizations

Ondokuz Mayıs University
Turkey
Anadolu University
Turkey

Keywords

Monte carlo simulation, M estimator, Asymmetric Distribution, Monte Carlo Simulation, Heavy-Tailed Distribution, M Estimator, Heavy-tailed distribution, Mml Estimator, heavy-tailed distribution, Asymmetric distribution, Monte Carlo simulation, MML estimator

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