A multivariate skew normal distribution

Arjun K. Gupta, Graciela González-Farías and J. Armando Domínguez-Molina

Journal of Multivariate Analysis, 2004, vol. 89, issue 1, 181-190

Abstract: In this paper, we define a new class of multivariate skew-normal distributions. Its properties are studied. In particular we derive its density, moment generating function, the first two moments and marginal and conditional distributions. We illustrate the contours of a bivariate density as well as conditional expectations. We also give an extension to construct a general multivariate skew normal distribution.

Keywords: Non-normal; models; Density; Marginal; Conditional; Regression; Moments; Moment; generating; function; Contours (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (29)

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