Generalized skew-elliptical distributions and their quadratic forms

被引：0
|
作者：
Marc G. Genton
Nicola M. R. Loperfido
机构：
[1] Texas A&M University,Department of Statistics
[2] Università degli Studi di Urbino,Instituto di scienze Economiche, Facoltá di Economia
来源：
Annals of the Institute of Statistical Mathematics | 2005年 / 57卷
关键词：
Elliptical distribution; invariance; kurtosis; selection model; skewness; weighted distribution;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper introduces generalized skew-elliptical distributions (GSE), which include the multivariate skew-normal, skew-t, skew-Cauchy, and skew-elliptical distributions as special cases. GSE are weighted elliptical distributions but the distribution of any even function in GSE random vectors does not depend on the weight function. In particular, this holds for quadratic forms in GSE random vectors. This property is beneficial for inference from non-random samples. We illustrate the latter point on a data set of Australian athletes.
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页码：389 / 401
页数：12
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