Skewed or Noncentral T Distribution

[pkxt]

Hello,

I understand that the skewed t-distribution and the noncentral t-distribution are generalized, asymmetric forms of the t-distribution.

Are they the same thing?

If not, what is the difference between them?

Thank you!

 

[camillio]

Hi, it is quite impossible to satisfactory answer your question as there are several proposed modifications of the standard t distribution. See, e.g.:

Jones, M. C. and Faddy, M. J. (2003), A skew extension of the t-distribution, with applications. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 65: 159–174. doi: 10.1111/1467-9868.00378