Comparison and Classification of Flexible Distributions for Multivariate Skew and Heavy-Tailed Data

Abstract

We present, compare and classify popular families of flexible multivariate distributions. Our classification is based on the type of symmetry (spherical, elliptical, central symmetry or asymmetry) and the tail behaviour (a single tail weight parameter or multiple tail weight parameters). We compare the families both theoretically (relevant properties and distinctive features) and with a Monte Carlo study (comparing the fitting abilities in finite samples).