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!
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