Characteristic functions of scale mixtures of multivariate skew-normal distributions

Hyoung-Moon Kim and Marc G. Genton

Journal of Multivariate Analysis, 2011, vol. 102, issue 7, 1105-1117

Abstract: We obtain the characteristic function of scale mixtures of skew-normal distributions both in the univariate and multivariate cases. The derivation uses the simple stochastic relationship between skew-normal distributions and scale mixtures of skew-normal distributions. In particular, we describe the characteristic function of skew-normal, skew-t, and other related distributions.

Keywords: Characteristic; function; Mixing; Multivariate; Scale; mixture; Selection; Skew-normal; Skew-t (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (15)

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