多元统一斜-t分布及其性质

Kesen Wang, Maicon J. Karling, Reinaldo B. Arellano-Valle, Marc G. Genton
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引用次数: 0

摘要

统一偏态-t (SUT)是一种灵活的参数多元分布,可以解释数据中的偏态和重尾。它的一些性质可以在文献中发现,或者在不遵循统一斜正态分布(SUN)原始分布的参数化中发现,但缺乏系统的研究。本文给出了多元SUT分布的显式性质,如随机表示、矩、太阳尺度混合表示、线性变换、可加性、边际分布、规范形式、二次形式、条件分布、潜在维数的变化、多元偏度和峰度的马尔地亚测度以及不可辨识问题。这些结果是在参数化中给出的,该参数化将原始的太阳分布作为子模型,从而促进了SUT在应用中的使用。给出了基于SUT分布的几种模型作为说明。
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Multivariate Unified Skew-t Distributions And Their Properties
The unified skew-t (SUT) is a flexible parametric multivariate distribution that accounts for skewness and heavy tails in the data. A few of its properties can be found scattered in the literature or in a parameterization that does not follow the original one for unified skew-normal (SUN) distributions, yet a systematic study is lacking. In this work, explicit properties of the multivariate SUT distribution are presented, such as its stochastic representations, moments, SUN-scale mixture representation, linear transformation, additivity, marginal distribution, canonical form, quadratic form, conditional distribution, change of latent dimensions, Mardia measures of multivariate skewness and kurtosis, and non-identifiability issue. These results are given in a parametrization that reduces to the original SUN distribution as a sub-model, hence facilitating the use of the SUT for applications. Several models based on the SUT distribution are provided for illustration.
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