A derivation of the multivariate singular skew-normal density function

Phil D. Young, Jane L. Harvill and Dean M. Young

Statistics & Probability Letters, 2016, vol. 117, issue C, 40-45

Abstract: We prove the existence of a multivariate singular skew-normal density function, derive its moment generating function, and demonstrate that the skewness parameter-vector is confined to the column space of the singular dispersion matrix.

Keywords: Moment generating function; Pseudoinverse; Affine subspace; Lebesgue measure (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2016.04.024

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