Statistics and Its Interface
Volume 10 (2017)
The generalized half-t distribution
Pages: 727 – 734
In this paper, we introduce a new distribution as a scale mixture of the generalized half normal (GHN) distribution proposed by  and the generalized gamma (GG) distribution. Since the half-t (HT) distribution given in  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.
EM algorithm, GG, GHN, GHT, HT, ML
2010 Mathematics Subject Classification
Primary 60E05, 62E15. Secondary 62F10.