Definition and probabilistic properties of skew-distributions

R. B. Arellano-Valle, G. del Pino and E. San Martín

Statistics & Probability Letters, 2002, vol. 58, issue 2, 111-121

Abstract: The univariate and multivariate skew-normal distributions have a number of intriguing properties. It is shown here that these hold for a general class of distributions, defined in terms of independence conditions on signs and absolute values. For this class, two stochastic representations become equivalent, one using conditioning on the positivity of a random vector and the other employing a vector of absolute values. General methods for computing moments and for obtaining the density function of a general skew-distribution are given. The case of spherical and elliptical distributions is briefly discussed.

Keywords: Skew-distributions; Skew-normal; Spherical; distributions; Elliptical; distributions; Stochastic; representations (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (15)

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