Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions

Chuancun Yin and Narayanaswamy Balakrishnan

Journal of Multivariate Analysis, 2024, vol. 199, issue C

Abstract: The family of multivariate skew-normal distributions has many interesting properties. It is shown here that these hold for a general class of skew-elliptical distributions. For this class, several stochastic representations are established and then their probabilistic properties, such as characteristic function, moments, quadratic forms as well as transformation properties, are investigated.

Keywords: Characteristic functions; Moments; Quadratic forms; Skew-elliptical distributions; Skew-normal distributions; Stochastic representations (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2023.105240

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