The beta skew t distribution and its properties

ABSTRACT

In this article we introduce a new generalization of the skew t distribution based on the beta generalized distribution. The new class of distribution, which is called the beta skew t (BST), has the ability of fitting skewed and heavy-tailed data and is more general than the skew t distribution as it contains the skew t distribution as a special case. Related properties of the new distribution, such as moments and the order statistics, are derived. The proposed distribution is applied to real data to illustrate the fitting procedure using the maximum likelihood method and the L-moments method.

KEYWORDS:

• Beta skew t distribution
• skew normal distribution
• heavy-tailed data
• maximal likelihood estimate
• L-moments

AMS SUBJECT CLASSIFICATION:

• 62E15
• 62F10

Disclosure statement

No potential conflict of interest was reported by the authors.