A note on the direction maximizing skewness in multivariate skew-t vectors

Jorge M. Arevalillo and Hilario Navarro

Statistics & Probability Letters, 2015, vol. 96, issue C, 328-332

Abstract: In this note we address the problem of finding the direction with maximal skewness for a random vector that follows a multivariate skew-t distribution. The result relies on the well-known representation of the multivariate skew-t distribution as a scale mixture of skew-normal multivariate distributions.

Keywords: Multivariate skew-t distribution; Skewness maximization; Scale mixtures; Multivariate skew-normal distribution (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2014.10.014

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