A proof for the conjecture of characteristic function of the generalized skew-elliptical distributions

DOI10.1016/J.SPL.2016.08.017MaRDI QIDQ334066zbMATH OpenOpenAlexWikidataFDO

Authors Tomer Shushi

Publication date 31 October 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.08.017

zbMATH Keywords

characteristic functionskewed distributionsgeneralized skew elliptical distributions

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• Generalized skew-elliptical distributions and their quadratic forms
• Invariant tests for symmetry about an unspecified point based on the empirical characteristic function.

Cited in

(11)

• Stein’s Lemma for generalized skew-elliptical random vectors
• Multivariate tail covariance risk measure for generalized skew-elliptical distributions
• Explicit formulas for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical distributions
• Stress-strength reliability of generalized skew-elliptical distributions and its Bayes estimation
• Multivariate doubly truncated moments for generalized skew-elliptical distributions with applications
• A proof for the existence of multivariate singular generalized skew-elliptical density functions
• Generalized skew-elliptical distributions are closed under affine transformations
• Characteristic function of the SGT distribution
• Estimation of stress-strength reliability for the multivariate SGPII distribution
• The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
• The Bessel function expression of characteristic function

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