Definition and probabilistic properties of skew-distributions
The univariate and multivariate skew-normal distributions have a number of intriguing properties. It is shown here that these hold for a general class of distributions, defined in terms of independence conditions on signs and absolute values. For this class, two stochastic representations become equivalent, one using conditioning on the positivity of a random vector and the other employing a vector of absolute values. General methods for computing moments and for obtaining the density function of a general skew-distribution are given. The case of spherical and elliptical distributions is briefly discussed.
Volume (Year): 58 (2002)
Issue (Month): 2 (June)
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References listed on IDEAS
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- 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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