Recurrence relations for bivariate t and extended skew-t distributions and an application to order statistics from bivariate t

In this paper, we derive recurrence relations for cumulative distribution functions (cdf’s) of bivariate t and extended skew-t distributions. These recurrence relations are over ν (the degrees of freedom), and starting from the known results for ν = 1 and ν = 2, they will allow for the recursive evaluation of the distribution function for any other positive integral value of ν. Then, we consider a linear combination of order statistics from a bivariate t distribution with an arbitrary mean vector and show that its cdf is a mixture of cdf’s of the extended skew-t distributions. This mixture form, along with the explicit expressions of the cdf’s of the extended skew-t distributions, enables us to derive explicit expressions for the cdf of the linear combination for any positive integral value of ν. © 2009 Elsevier B.V. All rights reserved.