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A General Class of Multivariate Skew-Elliptical Distributions

✍ Scribed by Márcia D. Branco; Dipak K. Dey

Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 136 KB
Volume: 79
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.2000.1960

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✦ Synopsis

This paper proposes a general class of multivariate skew-elliptical distributions. We extend earlier results on the so-called multivariate skew-normal distribution. This family of distributions contains the multivariate normal, Student's t, exponential power, and Pearson type II, but with an extra parameter to regulate skewness. We also obtain the moment generating functions and study some distributional properties. Several examples are provided.

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