The generalized half-t distribution

BULUT Y. M., Jamalizadeh A., Dogru F. Z., ARSLAN O.

STATISTICS AND ITS INTERFACE, vol.10, no.4, pp.727-734, 2017 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 10 Issue: 4
  • Publication Date: 2017
  • Doi Number: 10.4310/sii.2017.v10.n4.a14
  • Journal Name: STATISTICS AND ITS INTERFACE
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.727-734
  • Eskisehir Osmangazi University Affiliated: Yes

Abstract

In this paper, we introduce a new distribution as a scale mixture of the generalized half normal (GHN) distribution proposed by [3] and the generalized gamma (GG) distribution. Since the half-t (HT) distribution given in [10] is a special case of the new distribution, we call the new distribution as "generalized half-t (GHT)" distribution. We derive the probability density function (pdf) of the GHT distribution and study some of its properties. We give maximum likelihood (ML) estimators for its parameters based on the Expectation-Maximization (EM) algorithm. We provide a small simulation study to show the performances of the ML estimators for GHT distribution. Also, we give a real data example to illustrate the modeling performance of the proposed distribution over the GHN and HT distributions.