The Type I Half Logistic Skew-t Distribution: A Heavy-Tail Model with Inverted Bathtub Shaped Hazard Rate

Abstract

In this article a new generalization of the skew student-t distribution was introduced. The two-parameter model called the type I half-logistic skew-t (TIHLST) distribution can fit skewed, heavy-right tail, and long-tail datasets. Statistical properties of the type I half-logistic skew-t (TIHLST) distribution were derived and the maximum likelihood method parameter estimates assessed through a simulation study. A well-known dataset was analysed, illustrating the usefulness of the new distribution in modeling skewed and heavy-tailed data. The hazard rate shape was found to be increasing, decreasing and inverted bathtub shaped which was also reflected in the application result.