A new asymmetric generalisation of the t-distribution
Methodology
2016-06-17 v1
Abstract
A 6-parameter fat-tailed distribution is proposed that generalises the t-distribution and allows asymmetry of scale and also of tail power, whilst avoiding the discontinuity of the second derivative of the split-t (AST) distribution. With the sixth parameter set to unity and no asymmetry, the distribution reduces to a t-distribution, but with the sixth parameter reduced, fatter tails than those of the t-distribution are allowed (the tails start earlier) and the distribution generalises Johnson's distribution. Data fitting is illustrated with examples.
Keywords
Cite
@article{arxiv.1606.05203,
title = {A new asymmetric generalisation of the t-distribution},
author = {Rose D. Baker},
journal= {arXiv preprint arXiv:1606.05203},
year = {2016}
}
Comments
13 pages, 2 figures, Statistics, exact distribution theoru