A multivariate skew normal distribution

被引：101

作者：

Gupta, AK ^{[1
]}

González-Farías, G

Domínguez-Molina, JA

机构：

[1] Bowling Green State Univ, Dept Math & Stat, Bowling Green, OH 43403 USA

[2] Ctr Invest & Matemat, Mexico City, DF, Mexico

[3] Univ Guanajuato, Guanajuato, Mexico

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2004年 / 89卷 / 01期

关键词：

non-normal models; density; marginal; conditional; regression; moments; moment generating function; contours;

D O I：

10.1016/S0047-259X(03)00131-3

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：

In this paper, we define a new class of multivariate skew-normal distributions. Its properties are studied. In particular we derive its density, moment generating function, the first two moments and marginal and conditional distributions. We illustrate the contours of a bivariate density as well as conditional expectations. We also give an extension to construct a general multivariate skew normal distribution. (C) 2003 Elsevier Inc. All rights reserved.

引用

页码：181 / 190

页数：10

共 12 条

[1]

ARELLANOVALLE R, 2001, GEN CLASS SKEW DISTR

[2] Skewed multivariate models related to hidden truncation and/or selective reporting [J].

Arnold B.C. ;

Beaver R.J. .

Test, 2002, 11 (1) :7-54

[3] Statistical applications of the multivariate skew normal distribution [J].

Azzalini, A ;

Capitanio, A .

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 1999, 61 :579-602

[4] The multivariate skew-normal distribution [J].

Azzalini, A ;

DallaValle, A .

BIOMETRIKA, 1996, 83 (04) :715-726

[5]

AZZALINI A, 1985, SCAND J STAT, V12, P171

[6]

Azzalini A., 1986, Rivista Statistica, V46, P199

[7] CORRELATION CURVES - MEASURES OF ASSOCIATION AS FUNCTIONS OF COVARIATE VALUES [J].

BJERVE, S ;

DOKSUM, K .

ANNALS OF STATISTICS, 1993, 21 (02) :890-902

[8]

DOMINGUEZMOLINA J, 2001, 0109 BOWL GREEN STAT

[9] Moments of skew-normal random vectors and their quadratic forms [J].

Genton, MG ;

He, L ;

Liu, XW .

STATISTICS & PROBABILITY LETTERS, 2001, 51 (04) :319-325

[10]

Gupta A. K., 2001, 0110 BOWL GREEN STAT

← 1 2 →