Marginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables

Maximiano Pinheiro

Journal of Probability and Statistics, 2012, vol. 2012, 1-10

Abstract:

Marginal probability density and cumulative distribution functions are presented for multidimensional variables defined by nonsingular affine transformations of vectors of independent two-piece normal variables, the most important subclass of Ferreira and Steel's general multivariate skewed distributions. The marginal functions are obtained by first expressing the joint density as a mixture of Arellano-Valle and Azzalini's unified skew-normal densities and then using the property of closure under marginalization of the latter class.

Date: 2012
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Related works:
Working Paper: Marginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:758975

DOI: 10.1155/2012/758975

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