Characteristic functions of scale mixtures of multivariate skew-normal distributions
We obtain the characteristic function of scale mixtures of skew-normal distributions both in the univariate and multivariate cases. The derivation uses the simple stochastic relationship between skew-normal distributions and scale mixtures of skew-normal distributions. In particular, we describe the characteristic function of skew-normal, skew-t, and other related distributions.
Volume (Year): 102 (2011)
Issue (Month): 7 (August)
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