Arellano-Valle, Reinaldo B.; Azzalini, Adelchi - In: Journal of Multivariate Analysis 113 (2013) C, pp. 73-90
The skew-t family, in its univariate and multivariate versions, is a parametric family of probability distributions which is currently under intense investigation because of several appealing properties. The present paper addresses the question of the choice of its parameterization, and more...