Some Statistical Aspects of the Truncated Multivariate Skew-<i>t</i> Distribution

Abstract

The multivariate skew-t distribution plays an important role in statistics since it combines skewness with heavy tails, a very common feature in real-world data. A generalization of this distribution is the truncated multivariate skew-t distribution which contains the truncated multivariate t distribution and the truncated multivariate skew-normal distribution as special cases. In this article, we study several distributional properties of the truncated multivariate skew-t distribution involving affine transformations, marginalization, and conditioning. The generation of random samples from this distribution is described.

Keywords

• marginal distribution
• multivariate skew-t distribution
• rejection sampling
• truncated distribution
• skewness