Alpha-Skew Generalized t Distribution

• Main Authors: SUKRU ACITAS, BIRDAL SENOGLU, OLCAY ARSLAN
• Format: Article
• Language: English
• Published: Universidad Nacional de Colombia
• Series: Revista Colombiana de Estadística
• Subjects: Bimodality; Kurtosis; Maximum Likelihood Estimation; Modeling; Skewness
• Online Access: http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512015000200003&lng=en&tlng=en

The alpha-skew normal (ASN) distribution has been proposed recently in the literature by using standard normal distribution and a skewing approach. Although ASN distribution is able to model both skew and bimodal data, it is shortcoming when data has thinner or thicker tails than normal. Therefore, we propose an alpha-skew generalized t (ASGT) by using the generalized t (GT) distribution and a new skewing procedure. From this point of view, ASGT can be seen as an alternative skew version of GT distribution. However, ASGT differs from the previous skew versions of GT distribution since it is able to model bimodal data sest as well as it nests most commonly used density functions. In this paper, moments and maximum likelihood estimation of the parameters of ASGT distribution are given. Skewness and kurtosis measures are derived based on the first four noncentral moments. The cumulative distribution function (cdf) of ASGT distribution is also obtained. In the application part of the study, two real life problems taken from the literature are modeled by using ASGT distribution.