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On fundamental skew distributions

Author

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  • Arellano-Valle, Reinaldo B.
  • Genton, Marc G.

Abstract

A 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.

Suggested Citation

  • Arellano-Valle, Reinaldo B. & Genton, Marc G., 2005. "On fundamental skew distributions," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 93-116, September.
  • Handle: RePEc:eee:jmvana:v:96:y:2005:i:1:p:93-116
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    References listed on IDEAS

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