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A multivariate skew normal distribution

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Author Info
Gupta, Arjun K.
González-Farías, Graciela
Domínguez-Molina, J. Armando
Abstract

In this paper, we define a new class of multivariate skew-normal distributions. Its properties are studied. In particular we derive its density, moment generating function, the first two moments and marginal and conditional distributions. We illustrate the contours of a bivariate density as well as conditional expectations. We also give an extension to construct a general multivariate skew normal distribution.

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Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 89 (2004)
Issue (Month): 1 (April)
Pages: 181-190
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Handle: RePEc:eee:jmvana:v:89:y:2004:i:1:p:181-190

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Related research
Keywords: Non-normal models Density Marginal Conditional Regression Moments Moment generating function Contours;

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  1. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  2. Samuel Kotz & Donatella Vicari, 2005. "Survey of developments in the theory of continuous skewed distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 225-261. [Downloadable!]
  3. Jose T.A.S. Ferreira & Mark F.J. Steel, 2004. "Model Comparison of Coordinate-Free Multivariate Skewed Distributions with an Application to Stochastic Frontiers," Econometrics 0404005, EconWPA. [Downloadable!]
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