Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties

The Generalized Inverse Gaussian (GIG) distribution has found many interesting applications: see Jorgensen [24]. This rich family includes some well-known distributions, such as the inverse Gaussian, gamma and exponential, as special cases. These distributions have been used as the mixing density for building some heavy-tailed multivariate distributions including the normal inverse Gaussian, Student-t and Laplace distributions. In this paper, we use the GIG distribution in the context of the scale-mixture of skew-normal distributions, deriving a new family of distributions called Skew-Normal Generalized Hyperbolic distributions. This new flexible family of distributions possesses skewness with heavy-tails, and generalizes the symmetric normal inverse Gaussian and symmetric generalized hyperbolic distributions. (C) 2014 Elsevier Inc. All rights reserved.