A generalised Student's t-distribution

Ioannis Papastathopoulos; Jonathan A. Tawn

doi:10.1016/j.spl.2012.09.002

A generalised Student's t-distribution

Ioannis Papastathopoulos, Jonathan A. Tawn

School of Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract / Description of output

We introduce a natural extension of the Student’s t-distribution that also allows for a negative shape parameter or more commonly referred to as the degrees of freedom of this distribution. This distribution unifies all types of tail decay and allows extra flexibility in the kurtosis of the t-distribution. We illustrate the use of this distribution with an application to pharmaceutical data.

Original language	English
Pages (from-to)	70-77
Journal	Statistics and Probability Letters
Volume	83
Issue number	1
DOIs	https://doi.org/10.1016/j.spl.2012.09.002
Publication status	Published - 2013

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10.1016/j.spl.2012.09.002

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AB - We introduce a natural extension of the Student’s t-distribution that also allows for a negative shape parameter or more commonly referred to as the degrees of freedom of this distribution. This distribution unifies all types of tail decay and allows extra flexibility in the kurtosis of the t-distribution. We illustrate the use of this distribution with an application to pharmaceutical data.

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DO - 10.1016/j.spl.2012.09.002

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JO - Statistics and Probability Letters

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A generalised Student's t-distribution

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