A Skew Extension of the Multivariate Generalized T Distributions with Applications

A.M. Fares¹ , V.V. Haragopal²

1. Higher Institute For Administrative Development, Damascus University, Halboni, Damascus, Syria.
2. Department of Mathematics, Birla Institute of Technology and Science, Pilani-Hyderabad Campus, India.

Correspondence should be addressed to: fares26285@hotmail.com.

Section:Research Paper, Product Type: Isroset-Journal
Vol.5 , Issue.3 , pp.34-39, Jun-2018

CrossRef-DOI:   https://doi.org/10.26438/ijsrmss/v5i3.3439

Online published on Jun 30, 2018

Copyright © A.M. Fares, V.V. Haragopal . This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
 

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Abstract :
We propose an asymmetric extension of Arslan multivariate generalization of the Generalized T distributions introduced by McDonald and Newey, the proposed Skew Multivariate Generalized T distribution (MSGT) includes the skew multivariate Normal distribution of Azzalini and Valle as well as the skew multivariate t distribution introduced by Azzalini and Capitanio, besides, MSGT contains many other distributions as a limiting or special cases, a stochastic representation of MSGT random vector has been obtained along with a simulation study, the flexibility added of this distribution makes it a potential candidate in modeling multidimensional data of different tail behaviors for providing an outstanding fit which we have practically illustrated by using this distribution for modeling multivariate data of the American financial market.

Key-Words / Index Term :
Multivariate; Skew; Generalized T-distribution

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