Generalized skew-elliptical distributions are closed under affine transformations
Statistics & Probability Letters, 2018, vol. 134, issue C, 1-4
In this short letter we prove that the family of multivariate generalized skew-elliptical distributions is closed under affine transformations. This fundamental property has many applications in applied and theoretical probability.
Keywords: Characteristic function; Generalized skew-elliptical distributions; Marginal distributions; Skewed distributions (search for similar items in EconPapers)
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