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Moments and quadratic forms of matrix variate skew normal distributions

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  • Shimin Zheng
  • Jeff Knisley
  • Kesheng Wang

Abstract

In 2007, Domínguez-Molina et al. obtained the moment generating function (mgf) of the matrix variate closed skew normal distribution. In this paper, we use their mgf to obtain the first two moments and some additional properties of quadratic forms for the matrix variate skew normal distributions. The quadratic forms are particularly interesting because they are essentially correlation tests that introduce a new type of orthogonality condition.

Suggested Citation

  • Shimin Zheng & Jeff Knisley & Kesheng Wang, 2016. "Moments and quadratic forms of matrix variate skew normal distributions," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(3), pages 794-803, February.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:3:p:794-803
    DOI: 10.1080/03610926.2013.851230
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    Cited by:

    1. Rezaei, Amir & Yousefzadeh, Fatemeh & Arellano-Valle, Reinaldo B., 2020. "Scale and shape mixtures of matrix variate extended skew normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 179(C).

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