A New Class of Multivariate Elliptically Contoured Distributions with Inconsistency Property

Yeshunying Wang and Chuancun Yin ()
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Yeshunying Wang: Qufu Normal University
Chuancun Yin: Qufu Normal University

Methodology and Computing in Applied Probability, 2021, vol. 23, issue 4, 1377-1407

Abstract: Abstract We introduce a new class of multivariate elliptically symmetric distributions including elliptically symmetric logistic distributions and Kotz type distributions. We investigate the various probabilistic properties including marginal distributions, conditional distributions, linear transformations, characteristic functions and dependence measure in the perspective of the inconsistency property. In addition, we provide a real data example to show that the new distributions have reasonable flexibility.

Keywords: Elliptically contoured distribution; Elliptically symmetric logistic distribution; Kotz type distribution; Inconsistency property; Generalized Hurwitz-Lerch zeta function; 60E; 62F (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s11009-020-09817-7

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