Moments of skew-normal random vectors and their quadratic forms
In this paper, we derive the moments of random vectors with multivariate skew-normal distribution and their quadratic forms. Applications to time series and spatial statistics are discussed. In particular, it is shown that the moments of the sample autocovariance function and of the sample variogram estimator do not depend on the skewness vector.
Volume (Year): 51 (2001)
Issue (Month): 4 (February)
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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.:
- Genton, Marc G., 1999. "The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution," Statistics & Probability Letters, Elsevier, vol. 41(2), pages 131-137, January.
- 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.
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