Multivariate inverse Gaussian and skew-normal densities

Harry Joe, Vanamamalai Seshadri and Barry C. Arnold

Statistics & Probability Letters, 2012, vol. 82, issue 12, 2244-2251

Abstract: Based on inverse Gaussian random variables being transformations of skew-normal random variables, multivariate inverse Gaussian densities are obtained from appropriate multivariate skew-normal distributions. The new skew-normal distributions have some closure properties not satisfied by other multivariate skew-normal distributions.

Keywords: Closure under margins; t distribution; Transformed random variables (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2012.08.004

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