Marginal Replacement in Multivariate Densities, with Application to Skewing Spherically Symmetric Distributions

M. C. Jones

Journal of Multivariate Analysis, 2002, vol. 81, issue 1, 85-99

Abstract: We consider a simple general construct, that of marginal replacement in a multivariate distribution, that provides, in particular, an interesting way of producing distributions that have a skew marginal from spherically symmetric starting points. Particular examples include a new multivariate beta distribution and a new multivariate t/skew t distribution, along with Azzalini and colleagues' multivariate skew normal distribution.

Keywords: multivariate; beta; distribution; multivariate; t; distribution; skew; normal; distribution; skew; t; distribution; transformation (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (6)

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