Robust likelihood methods based on the skew-t and related distributions

The robustness problem is tackled by adopting a parametric class of distributions flexible enough to match the behaviour of the observed data. In a variety of practical cases, one reasonable option is to consider distributions which include parameters to regulate their skewness and kurtosis. As a specific representative of this approach, the skew-t distribution is explored in more detail and reasons are given to adopt this option as a sensible general-purpose compromise between robustness and simplicity, both of treatment and of interpretation of the outcome. Some theoretical arguments, outcomes of a few simulation experiments and various wide-ranging examples with real data are provided in support of the claim.