A new construction for skew multivariate distributions

Dipak K. Dey and Junfeng Liu

Journal of Multivariate Analysis, 2005, vol. 95, issue 2, 323-344

Abstract: This paper considers a new approach to develop a very general class of skew multivariate distributions. The approach is based on a linear combination of an elliptically distributed random variable with a linear constraint. Using this approach two different classes of multivariate distributions are constructed based on original distribution. These new classes include different types of skew normal (type A and type B) and other skew elliptical distributions, exist in the literature. We also derive the moment generating function, marginal and conditional density of our proposed classes of distributions. Straightforward explanations are applied to demonstrate the relationships among previous approaches by others with our proposed class of skew distributions.

Keywords: Elliptical; distribution; Linear; combination; Linear; constraint; Moment; generating; function; Multivariate; normal; Skewness (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (3)

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