Abstract:
In general, there are a large number of skew elliptically contoured distributions with hard calculated integral forms, while skew normal, skew normal scale mixtures, skew Pearson type VII and skew Pearson type II distributions possess good structures. Skew t distributions belong to skew Pearson type VII distributions, therefore, this paper proposes new multivariate skew t distributions based on multivariate skew Pearson type VII distributions. Backgrounds and definitions are given, two stochastic representations and their equivalence are derived.