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A proof for the existence of multivariate singular generalized skew-elliptical density functions

Tomer Shushi

Statistics & Probability Letters, 2018, vol. 141, issue C, 50-55

Abstract: We derive the density functions of multivariate singular generalized skew-elliptical distributions, present their characteristic function, and derive explicit formulas for the expectation and the covariance matrix. This letter generalizes results given in Díaz-García et al. (2002) and Young et al. (2016) about the existence of multivariate singular elliptical and multivariate singular skew-normal density functions, respectively.

Keywords: Affine subspace; Characteristic function; Generalized skew-elliptical distributions; High-dimensional data; Lebesgue measure; Pseudoinverse (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:stapro:v:141:y:2018:i:c:p:50-55