Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions

被引：4

作者：

Yin, Chuancun ^{[1
]}

Balakrishnan, Narayanaswamy ^{[2
]}

机构：

[1] Qufu Normal Univ, Sch Stat & Data Sci, Qufu 273165, Shandong, Peoples R China

[2] McMaster Univ, Dept Math & Stat, Hamilton, ON, Canada

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2024年 / 199卷

基金：

中国国家自然科学基金;

关键词：

Characteristic functions; Moments; Quadratic forms; Skew-elliptical distributions; Skew-normal distributions; Stochastic representations; SCALE MIXTURES; KURTOSIS; MOMENTS;

D O I：

10.1016/j.jmva.2023.105240

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The family of multivariate skew-normal distributions has many interesting properties. It is shown here that these hold for a general class of skew-elliptical distributions. For this class, several stochastic representations are established and then their probabilistic properties, such as characteristic function, moments, quadratic forms as well as transformation properties, are investigated.(c) 2023 Elsevier Inc. All rights reserved.

引用

页数：12

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