Communications for Statistical Applications and Methods

  • 제23권4호
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  • Pages.321-334
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  • 2016
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Power t distribution

  • Zhao, Jun (Department of Applied Statistics, Konkuk University) ;
  • Kim, Hyoung-Moon (Department of Applied Statistics, Konkuk University)
  • 투고 : 2016.05.24
  • 심사 : 2016.07.15
  • 발행 : 2016.07.31
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초록

In this paper, we propose power t distribution based on t distribution. We also study the properties of and inferences for power t model in order to solve the problem of real data showing both skewness and heavy tails. The comparison of skew t and power t distributions is based on density plots, skewness and kurtosis. Note that, at the given degree of freedom, the kurtosis's range of the power t model surpasses that of the skew t model at all times. We draw inferences for two parameters of the power t distribution and four parameters of the location-scale extension of power t distribution via maximum likelihood. The Fisher information matrix derived is nonsingular on the whole parametric space; in addition we obtain the profile log-likelihood functions on two parameters. The response plots for different sample sizes provide strong evidence for the estimators' existence and unicity. An application of the power t distribution suggests that the model can be very useful for real data.

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과제정보

연구 과제 주관 기관 : Konkuk University

참고문헌

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피인용 문헌

  1. Independence and maximal volume of d-dimensional random convex hull vol.25, pp.1, 2018, https://doi.org/10.29220/CSAM.2018.25.1.079