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Skew Elliptically Contoured Distributions

In: Elliptically Contoured Models in Statistics and Portfolio Theory

Author

Listed:
  • Arjun K. Gupta

    (Bowling Green State University, Department of Mathematics and Statistics)

  • Tamas Varga

    (Damjanich)

  • Taras Bodnar

    (Humboldt-University of Berlin, Department of Mathematics)

Abstract

Various multivariate skew normal distributions have been proposed in the literature, with each one of them aiming to characterize a particular aspect of a given phenomenon.For example, one emphasizes invariance under quadratic forms, another one uses a general latent structure to define distributions, etc. In this chapter, we deal with matrix variate closed skew normal distributions. Their distributional properties are presented and the extension to matrix variate closed skew elliptically contoured distributions is suggested. Finally, an application to portfolio theory is provided.

Suggested Citation

  • Arjun K. Gupta & Tamas Varga & Taras Bodnar, 2013. "Skew Elliptically Contoured Distributions," Springer Books, in: Elliptically Contoured Models in Statistics and Portfolio Theory, edition 2, chapter 0, pages 273-302, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4614-8154-6_11
    DOI: 10.1007/978-1-4614-8154-6_11
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