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Recurrence relations for distributions of a skew-t...
Journal article

Recurrence relations for distributions of a skew-t and a linear combination of order statistics from a bivariate-t

Abstract

In this note, we derive recurrence relations for the cumulative distribution function (cdf) of a skew-t distribution and also the distribution of a linear combination of order statistics arising from a bivariate-t distribution. These recurrence relations are over ν, the degrees of freedom, and starting from the results for ν=1 and 2, they will allow for the recursive evaluation of the distribution function for any other value of ν.

Authors

Jamalizadeh A; Khosravi M; Balakrishnan N

Journal

Computational Statistics & Data Analysis, Vol. 53, No. 4, pp. 847–852

Publisher

Elsevier

Publication Date

February 2009

DOI

10.1016/j.csda.2008.11.002

ISSN

0167-9473