A general class of multivariate skew-elliptical distributions

被引：474
|
作者：
Branco, MD [1 ]
Dey, DK
机构：
[1] Univ Sao Paulo, Sao Paulo, Brazil
[2] Univ Connecticut, Storrs, CT 06269 USA
来源：
JOURNAL OF MULTIVARIATE ANALYSIS | 2001年 / 79卷 / 01期
关键词：
elliptical distributions; exponential power family; mixture of normals; Pearson type II; skewness;
D O I：
10.1006/jmva.2000.1960
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 proposes a general class of multivariate skew-elliptical distributions. We extend earlier results on the so-called multivariate skew-normal distribution. This family of distributions contains the multivariate normal, Student's t, exponential power, and Pearson type II, but with an extra parameter to regulate skewness, We also obtain the moment generating functions and study some distributional properties. Several examples are provided. (C) 2001 Academic Press.
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页码：99 / 113
页数：15
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