On fundamental skew distributions
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.
Year of publication: |
2005
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Authors: | Arellano-Valle, Reinaldo B. ; Genton, Marc G. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 96.2005, 1, p. 93-116
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Publisher: |
Elsevier |
Subject: | Marginal and conditional distributions Moment generating function Normal | spherical and elliptical distributions Quadratic forms Stochastic representation |
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