Skew distributions in OT?

Development
1

Hello,

First, warm congrats and thanks for the huge effort in building such an exhaustive and advanced open-source library for uncertainty modelling. Very impressive and super helpful to the community.

I have browsed the documentation but I haven’t found mentions of skew distributions modeled in OT. I am particularly interested in univariate Gaussian skew and T-skew distributions and multivariate Gaussian skew and T-skew distributions.

They are relatively standard and extensively studied by Azzalini and Della Valle (for instance: http://azzalini.stat.unipd.it/SN/)

I wonder if there is a way to include them in the OT distributions and use the nice ot.FittingTest. set of criteria and functions to include them into the list of candidates distributions.

Thank you very much for your help and best regards

Romain

2

Hi,

I had a look at the sn R package. These distributions are very interesting and should definitely be part of the OpenTURNS library, but we are currently short of resources to implement them rapidly. It will be difficult to add them for the next release as it will be frozen soon. Is it ok for you if you get them for the next release (~november)?

Cheers

Régis

3

Dear Regis,

Thank you very much for your prompt and kind response.

Absolutely no problems, I fully understand the constraints and I am very grateful that you put the skew distribution on your November release schedule.

Thank you very much again

Best regards,

Romain