Characteristic functions of scale mixtures of multivariate skew-normal distributions

DOI10.1016/J.JMVA.2011.03.004zbMATH Open1221.60020OpenAlexW2107563144MaRDI QIDQ548642FDOQ548642

Hyoung-Moon Kim, Marc G. Genton

Publication date: 29 June 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.03.004

zbMATH Keywords

characteristic functionmultivariateselectionskew-normalmixingscale mixtureskew-\(t\)

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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• Bayesian Inference for Stable Distributions
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• An invariance property of quadratic forms in random vectors with a selection distribution, with application to sample variogram and covariogram estimators
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• An approximation for the complex normal probability integral
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Cited In (24)

• An alternative matrix skew-normal random matrix and some properties
• Fast goodness-of-fit tests based on the characteristic function
• An overview on the progeny of the skew-normal family -- a personal perspective
• Scale and shape mixtures of multivariate skew-normal distributions
• Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations
• Stress-strength reliability of generalized skew-elliptical distributions and its Bayes estimation
• An identity for expectations and characteristic function of matrix variate skew-normal distribution with applications to associated stochastic orderings
• The exact density of the sum of independent skew normal random variables
• Goodness-of-fit tests for multivariate skewed distributions based on the characteristic function
• On the identifiability of finite mixture of skew-normal and skew-\(t\) distributions
• Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions
• The sparse method of simulated quantiles: An application to portfolio optimization
• Series form of the characteristic functions of scale mixtures of multivariate skew-normal distributions
• The Bessel function expression of characteristic function
• Asymmetric heavy-tailed vector auto-regressive processes with application to financial data
• Expansions for log densities of multivariate estimates
• A general approach for obtaining wrapped circular distributions via mixtures
• Comparison of the multivariate skew-normal random vectors based on the integral stochastic ordering
• Bootstrap inference on the Behrens–Fisher-type problem for the skew-normal population under dependent samples
• Moments of scale mixtures of skew-normal distributions and their quadratic forms
• Linear orderings of the scale mixtures of the multivariate skew-normal distribution
• Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
• Characteristic function-based semiparametric inference for skew-symmetric models
• Multivariate skew-normal generalized hyperbolic distribution and its properties

Uses Software

• sn

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