Generalized skew-elliptical distributions and their quadratic forms

被引：121

作者：

Genton, MG ^{[1
]}

Loperfido, NMR

机构：

[1] Texas A&M Univ, Dept Stat, College Stn, TX 77843 USA

[2] Univ Urbino, Fac Econ, Inst Sci Econ, I-61029 Urbino, PU, Italy

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 2005年 / 57卷 / 02期

关键词：

elliptical distribution; invariance; kurtosis; selection model; skewness; weighted distribution;

D O I：

10.1007/BF02507031

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：

This paper introduces generalized skew-elliptical distributions (GSE), which include the multivariate skew-normal, skew-t, skew-Cauchy, and skew-elliptical distributions as special cases. GSE are weighted elliptical distributions but the distribution of any even function in GSE random vectors does not depend on the weight function. In particular, this holds for quadratic forms in GSE random vectors. This property is beneficial for inference from non-random samples. We illustrate the latter point on a data set of Australian athletes.

引用

页码：389 / 401

页数：13

共 22 条

[1]

[Anonymous], 1979, Multivariate analysis

[2] The skew-Cauchy distribution [J].