A Heckman Selection-t Model

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On the Conditional Distribution of the Multivariate t Distribution (2016, methodology): “…theMVTdistribution iswidely applied in robust data analysis including linear and nonlinear regressions (Lange, Little, and Taylor 1989; Liu 1994, 2004; Gelman et al. 2014), linear mixed effects models (Pinheiro, Liu, and Wu 2001), and sample selection models (Marchenko and Genton 2012; Ding 2014).”
Identifiability of Normal and Normal Mixture Models with Nonignorable Missing Data (2015, background): “However, the upper confidence limit of ν is the selection-t model is near 20 (Marchenko and Genton 2012; Ding 2014), and such heavy-tailedness seems to be captured also by the normalmixturemodel as illustrated in the simulation studies in Sections 6.2 and 6.3.”
On Families of Distributions with Shape Parameters (2015, unknown): “…potential for being the ‘right’ choice on occasions; in particular, underlying truncation and selection mechanisms are cited to justify some uses of skew-symmetric distributions (e.g. Arnold, Beaver, Groeneveld & Meeker, 1993, Copas & Li, 1997, Arnold & Beaver, 2002, Marchenko & Genton, 2012).”