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Abstract
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In this paper, we propose a new distribution, namely alpha-beta-skew generalized t distribution. The proposed
distribution is really flexible and includes as special models some important distributions like Normal, tstudent, Cauchy and etc as its marginal component distributions. It features a probability density function
with up to three modes. The moment generating function as well as the main moments are provided. Inference
is based on a usual maximum-likelihood estimation approach and a small Monte Carlo simulation is
conducted for studying the asymptotic properties of the maximum-likelihood estimate. The usefulness of the
new model is illustrated in a real data.
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