On fundamental skew distributions
AbstractA new class of multivariate skew-normal distributions, fundamental skew-normal distributions and their canonical version, is developed. It contains the product of independent univariate skew-normal distributions as a special case. Stochastic representations and other main properties of the associated distribution theory of linear and quadratic forms are considered. A unified procedure for extending this class to other families of skew distributions such as the fundamental skew-symmetric, fundamental skew-elliptical, and fundamental skew-spherical class of distributions is also discussed.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 96 (2005)
Issue (Month): 1 (September)
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