This is a book about statistical distributions, their properties, and their application to
modelling the dependence of the location, scale, and shape of the distribution of a response …

A fairly general procedure is studied to perturb a multivariate density satisfying a weak form
of multivariate symmetry, and to generate a whole set of non-symmetric densities. The …

This paper develops a skewed extension of the generalized t (GT) distribution, introduced by
McDonald and Newey (1988). In particular, the paper derives the mathematical moments …

Publisher Summary This chapter reviews probability distributions that have been and can be
applied to problems arising in finance and examines some of these applications. Viewed …

A tractable skew t-distribution on the real line is proposed. This includes as a special case
the symmetric t-distribution, and otherwise provides skew extensions thereof. The …

In this paper, we propose a generalized scale mixture family of distributions, namely the
Power Exponential Scale Mixture (PESM) family, to model the sparsity inducing priors …

Intermediate Probability is the natural extension of the author's Fundamental Probability. It
details several highly important topics, from standard ones such as order statistics …

This article investigates the empirical distributions of log-returns of several financial assets at
the daily, weekly, monthly, bimonthly, and quarterly frequencies. The results indicate that the …

This article provides a review of research involving least absolute value (LAV) regression.
The review is concentrated primarily on research published since the survey article by …

When the analysis of real data indicates that normality assumptions are untenable, more
flexible models that cope with the most prevalent deviations from normality can be adopted …