Distribution of quadratic forms under skew normal settings

被引：35

作者：

Wang, Tonghui ^{[1
,2
]}

Li, Baokun ^{[2
]}

Gupta, Arjun K. ^{[3
]}

机构：

[1] New Mexico State Univ, Dept Math Sci, Las Cruces, NM 88003 USA

[2] SW Univ Finance & Econ, Chengdu, Peoples R China

[3] Bowling Green State Univ, Bowling Green, OH 43403 USA

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2009年 / 100卷 / 03期

关键词：

Multivariate skew normal distribution; Noncentral skew chi-square distribution; Necessary and sufficient conditions; Cochran's theorem; Moment generating function; ELLIPTIC DISTRIBUTIONS; INDEPENDENCE;

D O I：

10.1016/j.jmva.2008.06.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

For a class of multivariate skew normal distributions, the noncentral skew chi-square distribution is Studied. The necessary and sufficient conditions under which a sequence of quadratic forms is generalized noncentral skew chi-square distributed random variables are obtained. Several examples are given to illustrate the results. (c) 2008 Elsevier Inc. All rights reserved.

引用

页码：533 / 545

页数：13

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