Flexible modeling of bimodal distributions via skewed-$t$ mixtures (opens in new tab)

We propose a mixture of location-scale skewed-$t$ distributions to fit bimodal, skewed and heavy-tailed data. In particular, the mixture is based on the skewed-$t$ distribution by Fern\'andez and Steel (1998), so that the model-building procedure can be easily extended to mixtures of other symmetric distributions. After studying the properties of the mixture, we develop a maximum likelihood estimation approach via the EM algorithm and a likeliho...