A new family of slash-distributions with elliptical contours

Héctor W. Gómez, Fernando A. Quintana and Francisco J. Torres

Statistics & Probability Letters, 2007, vol. 77, issue 7, 717-725

Abstract: We introduce a new family of univariate and multivariate slash-distributions. Our construction is based on elliptical distributions. We define the new family by means of a stochastic representation as the scale mixture of an elliptically distributed random variable with respect to the power of a U(0,1) random variable. The same idea is extended to the multivariate case. We study general properties of the resulting families, including their moments. We illustrate special cases of interest, such as Normal, Cauchy, Student-t, Type II Pearson and Kotz-type distributions.

Keywords: Kurtosis; Scale; mixtures; of; elliptical; distributions; Symmetric; distributions (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (23)

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