Robust estimation with the skew T2 distribution.

Sukru Acitas; Pelin Kasap; Birdal Senoglu; Olcay Arslan

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Robust estimation with the skew T2 distribution.

Author(s)

Sukru Acitas Department of Statistics, Anadolu University, Eskisekhir, Turkey

Pelin Kasap Department of Statistics, Ondokuz Mayis University, Samsun, Turkey

Birdal Senoglu Department of Statistics, Ankara University, Ankara, Turkey

Olcay Arslan Department of Statistics, Ankara University, Ankara, Turkey

Abstract

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 provide to illustrate the performance of the skew t2 (ST2) distribution for robust modeling of the data sets that may have skewness and heavy-tails.

Publication Details

Page(s) 409-430

DOI DOI not available

Published Journal: Pakistan Journal of Statistics, Volume: 29, Issue: 4, Year: 2013

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