The skew-Cauchy distribution
Suppose (X,Y) has a (k+1)-dimensional Cauchy distribution. Consider the conditional distribution of X given Y>y0, for some fixed value of . The resulting distribution is the multivariate skewed Cauchy, in which there is truncation with respect to Y: this is but one of a general class of skewed distributions for which the initial distribution is symmetric. The skewing function, which depends upon the distribution of Y, need not be from the same family as the initial density.
Volume (Year): 49 (2000)
Issue (Month): 3 (September)
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