A general class of multivariate skew-elliptical distributions (Q5949984): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
Property / cites work | |||
Property / cites work: Q4768455 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On some characterizations of the \(t\)-distribution / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The multivariate skew-normal distribution / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Statistical Applications of the Multivariate Skew Normal Distribution / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q2736785 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3996150 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3999358 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5628978 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4301585 / rank | |||
Normal rank |
Latest revision as of 21:37, 3 June 2024
scientific article; zbMATH DE number 1679353
Language | Label | Description | Also known as |
---|---|---|---|
English | A general class of multivariate skew-elliptical distributions |
scientific article; zbMATH DE number 1679353 |
Statements
A general class of multivariate skew-elliptical distributions (English)
0 references
19 September 2002
0 references
Let \({\mathbf X}= (X_1,\dots, X_k)^T\) be a random vector elliptically distributed with location vector \(\mu\in \mathbb{R}^k\) and \(k\times k\) (positive definite) dispersion matrix \(\Sigma\), and assume that the vector \((X_0, X_1,\dots, X_k)^T\) is also elliptically distributed with location vector \((0,\mu)\) and dispersion matrix \(\left( \begin{smallmatrix} 1 & \delta^T \\ \delta & \Sigma \end{smallmatrix} \right)\) for some \(\delta= (\delta_1,\dots, \delta_k)^T\). Then the random vector \[ {\mathbf Y}= \begin{cases} {\mathbf X}- \mu\quad\text{if} X_0>0 \\ -{\mathbf X}+\mu\quad\text{if} X_0 \leq 0\end{cases} \] is said to have a skew-elliptical distribution. The authors give several examples of skew-elliptical distributions, and compute moment generating functions, mean vectors and covariance matrices.
0 references