TY - JOUR
T1 - Asymptotic form of the Kullback-Leibler divergence for multivariate asymmetric heavy-tailed distributions
AU - Contreras-Reyes, Javier E.
PY - 2014/2/1
Y1 - 2014/2/1
N2 - An asymptotic expression for the Kullback-Leibler (KL) divergence measure of multivariate skew-t distributions (MST) is derived. This novel class of flexible family distributions incorporates a shape and degree of freedom parameters, in order to manipulate the skewness and heavy-tail presence of the data, respectively. The quadratic form expressions of MST models are used to provide asymptotic measures. Additional inequalities for MST entropy and simulation studies are reported. Finally, the expected values of the KL divergence of a sample correlation matrix obtained by Pearson's correlation coefficient are discussed.
AB - An asymptotic expression for the Kullback-Leibler (KL) divergence measure of multivariate skew-t distributions (MST) is derived. This novel class of flexible family distributions incorporates a shape and degree of freedom parameters, in order to manipulate the skewness and heavy-tail presence of the data, respectively. The quadratic form expressions of MST models are used to provide asymptotic measures. Additional inequalities for MST entropy and simulation studies are reported. Finally, the expected values of the KL divergence of a sample correlation matrix obtained by Pearson's correlation coefficient are discussed.
KW - Heavy tails
KW - Kullback-Leibler divergence
KW - Skew-normal
KW - Skew-t
KW - Skewness
UR - http://www.scopus.com/inward/record.url?scp=84889880461&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2013.10.035
DO - 10.1016/j.physa.2013.10.035
M3 - Article
AN - SCOPUS:84889880461
SN - 0378-4371
VL - 395
SP - 200
EP - 208
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
ER -