A Two-Parameter Inverted Exponentiated Skewed Student-T Distribution: Theory and Application
DOI:
https://doi.org/10.62054/ijdm/0102.10Keywords:
Characteristic Function, Inverted, Maximum Likelihood, Order statisticsAbstract
In this study, a new two-parameter generalization of the skew-t distribution called the Inverted Exponentiated Skew t distribution, has been proposed. Some properties of the model like order statistics, entropy, asymptotic behavior, moments, characteristic function, and quantile function were derived. Parameter estimates using maximum likelihood estimation were consistent and the behavior of the estimates with increase in sample size was studied using Montecarlo simulation. The flexibility of the Inverted Exponentiated Skew Student t model was demonstrated by application to four financial datasets and the results revealed that the Inverted Exponentiated Skew Student t model yielded a better fit
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