Marginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables

Maximiano Pinheiro

Working Papers from Banco de Portugal, Economics and Research Department

Abstract: Marginal probability density and cumulative distribution functions are presented for multidimensional variables defined by non-singular affine transformations of vectors of independent two-piece normal variables, the most important subclass of Ferreira and Steel’s general multivariate skewed distributions. The marginal functions are obtained by first expressing the joint density as a mixture of Arellano-Valle and Azzalini’s unified skew-normal densities and then using the property of closure under marginalization of the latter class.

JEL-codes: C16 C46 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: Marginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ptu:wpaper:w201013

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