A generalized skew two-piece skew-elliptical distribution

Mahdi Salehi (), Ahad Jamalizadeh () and Mahdi Doostparast ()

Statistical Papers, 2014, vol. 55, issue 2, 409-429

Abstract: We present a new generalized family of skew two-piece skew-elliptical (GSTPSE) models and derive some its statistical properties. It is shown that the new family of distribution may be written as a mixture of generalized skew elliptical distributions. Also, a new representation theorem for a special case of GSTPSE-distribution is given. Next, we will focus on t kernel density and prove that it is a scale mixture of the generalized skew two-piece skew normal distributions. An explicit expression for the central moments as well as a recurrence relations for its cumulative distribution function and density are obtained. Since, this special case is a uni-/bimodal distribution, a sufficient condition for each cases is given. A real data set on heights of Australian females athletes is analysed. Finally, some concluding remarks and open problems are discussed. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Multivariate elliptical distribution; Generalized skew two-piece skew-elliptical distribution; Generalized skew two-piece skew-t distribution; Maximum likelihood estimator (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00362-012-0485-7

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