Moments of skew-normal random vectors and their quadratic forms

Marc G. Genton, Li He and Xiangwei Liu

Statistics & Probability Letters, 2001, vol. 51, issue 4, 319-325

Abstract: In this paper, we derive the moments of random vectors with multivariate skew-normal distribution and their quadratic forms. Applications to time series and spatial statistics are discussed. In particular, it is shown that the moments of the sample autocovariance function and of the sample variogram estimator do not depend on the skewness vector.

Keywords: Autocovariance; function; Multivariate; skew-normal; distribution; Quadratic; form; Variogram (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (45)

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