A General Class of Multivariate Skew-Elliptical Distributions
This paper proposes a general class of multivariate skew-elliptical distributions. We extend earlier results on the so-called multivariate skew-normal distribution. This family of distributions contains the multivariate normal, Student's t, exponential power, and Pearson type II, but with an extra parameter to regulate skewness. We also obtain the moment generating functions and study some distributional properties. Several examples are provided.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 79 (2001)
Issue (Month): 1 (October)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Arellano-Valle, Reinaldo B. & Bolfarine, Heleno, 1995. "On some characterizations of the t-distribution," Statistics & Probability Letters, Elsevier, vol. 25(1), pages 79-85, October.
- A. Azzalini & A. Capitanio, 1999. "Statistical applications of the multivariate skew normal distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 579-602.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:79:y:2001:i:1:p:99-113. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If references are entirely missing, you can add them using this form.