On the infinite divisibility of some skewed symmetric distributions

J. Armando Domínguez-Molina and Alfonso Rocha-Arteaga

Statistics & Probability Letters, 2007, vol. 77, issue 6, 644-648

Abstract: Infinite divisibility of some symmetric distributions skewed by an additive component is investigated. We find in particular that the skew-normal distribution of Azzalini [1985. A class of distributions which includes the normal ones. Scand. J. Statist. 12, 171-178] and the multivariate skew-normal distribution of Azzalini and Dalla Valle [1996. The multivariate skew-normal distribution. Biometrika 83, 715-726] are not infinitely divisible.

Keywords: Additively; skewed; distribution; Skew-normal; distribution; Skew-Cauchy; distribution; Skew-Student; t; distribution; Skew-Laplace; distribution; Self-decomposability; Lévy; process; Ornstein-Uhlenbeck; type; process (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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