The skew elliptical distributions and their quadratic forms

B. Q. Fang

Journal of Multivariate Analysis, 2003, vol. 87, issue 2, 298-314

Abstract: In this paper, a family of the skew elliptical distributions is defined and investigated. Some basic properties, such as stochastic representation, marginal and conditional distributions, distribution under linear transformations, moments and moment generating function are derived. The joint distribution of several quadratic forms is obtained. An example is given to show that the distributions of some statistics as the functions of the quadratic forms can be derived for various applications.

Keywords: Normal; distribution; Spherical; distribution; Skewness; Moment; generating; function; Fisher-Cochran; Theorem (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (9)

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