Remarks for the singular multivariate skew-normal distribution and its quadratic forms

Baokun Li, Weizhong Tian and Tonghui Wang

Statistics & Probability Letters, 2018, vol. 137, issue C, 105-112

Abstract: Under the singular multivariate skew normal (SMSN) setting, we showed that, in this paper, the necessary and sufficient conditions for independence of two sub-vectors given in Young et al. (2017) are equivalent to the results in Wang et al. (2009). In addition, the distribution of quadratic form of SMSN random vector is derived, with this new definition of the noncentral skew chi-square distribution. Several examples are given to illustrate our main results.

Keywords: Multivariate skew normal distribution; Independent sub vectors; Moment generating function; Noncentral skew chi square distribution (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2018.01.008

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