A proof for the conjecture of characteristic function of the generalized skew-elliptical distributions

Tomer Shushi

Statistics & Probability Letters, 2016, vol. 119, issue C, 301-304

Abstract: In the paper of Genton and Loperfido (Genton and Loperfido (2005)), the authors introduced the multivariate generalized skew-elliptical distributions, which is a family of skewed distributions that contains the more familiar skew-normal and skew-Student-t distributions. In the same paper the authors conjectured the structure of the characteristic function of the proposed family of distributions. In this short letter we prove their conjecture.

Keywords: Characteristic function; Generalized skew elliptical distributions; Skewed distributions (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2016.08.017

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