[SciPy-User] skew-normal distribution and Owen's T function

josef.pktd@gmai... josef.pktd@gmai...
Sat Dec 1 15:53:10 CST 2012


On Sat, Dec 1, 2012 at 3:15 PM, Oliver M. Haynold
<oliverh@promanthan.com> wrote:
> I've coded up the skew-normal probability distribution, following closely the logic from the sn package in CRAN, for SciPy. I've put a very early version (skew-t isn't implemented yet, which is the main purpose of the package) on
>
>         http://promanthan.com/randomstuff/skewt-0.0.1.tgz
>
> There are also unit tests that compare the results of my package to those of the sn package in R. Skew-t should be ready later this month. As always, any feedback and bug reports are highly appreciated.

Very good, thank you

I was looking for this. I just bumped recently again into Owen's T for
skewed distributions.

After a first look:
I would outsource _tOwen into a standalone function, since it might
also be useful in other places. scipy.special might also be a good
location for this function, if the implementation is not specific to
the current usage.

Josef





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