A Two Parameter Odd Exponentiated Skew-T Distribution With J-Shaped Hazard Rate Function

Abstract

A new generalization of the skew-t distribution was proposed. The two-parameter lifetime model called the odd exponentiated skew-t distribution has the ability of fitting skewed, long and heavy tailed datasets. It is considered to be more flexible than the skew-t distribution as it contains it as a special case. Some basic properties of the distribution such as the order statistics, entropy, asymptotic behaviour, moment, incomplete moment, characteristic function and quantile function were derived. The odd exponentiated skew-t distribution parameter estimates were derived using the maximum likelihood estimation method and simulation studies performed to evaluate the finite sample performance of these parameter estimates showed that the parameter estimates were consistent and approached the arbitrary selected parameter values as the sample size is increased. The application using a real-life dataset indicated that the new distribution outperformed the other competing distributions. The hazard rate shape of the odd exponentiated skew-t distribution was found to be increasing and J-shaped which was also reflected in the application result.