Marginal distributions of random vectors generated by affine transformations of independent two-piece normal variables (Q428356)

Summary: 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 \textit{J.T.A.S. Ferreira} and \textit{M.F.J. Steel}'s [Stat. Sin. 17, No. 2, 505--529 (2007; Zbl 1144.62035)] general multivariate skewed distributions. The marginal functions are obtained by first expressing the joint density as a mixture of \textit{R.B. Arellano-Valle} and \textit{A. Azzalini}'s [Scand. J. Stat. 33, No. 3, 561--574 (2006; Zbl 1117.62051)] unified skew-normal densities and then using the property of closure under marginalization of the latter class.