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.
引用
收藏
页码：99 / 113
页数：15
相关论文
共 50 条
  • [41] Multivariate skew t-distribution
    Gupta, AK
    STATISTICS, 2003, 37 (04) : 359 - 363
  • [42] The multivariate skew-slash distribution
    Wang, J
    Genton, MG
    JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2006, 136 (01) : 209 - 220
  • [43] Tail conditional moments for elliptical and log-elliptical distributions
    Landsman, Zinoviy
    Makov, Udi
    Shushi, Tomer
    INSURANCE MATHEMATICS & ECONOMICS, 2016, 71 : 179 - 188
  • [44] SOME SKEW-LAPLACE DISTRIBUTIONS
    Mierlus-Mazilu, Ion
    PROCEEDINGS OF THE ROMANIAN ACADEMY SERIES A-MATHEMATICS PHYSICS TECHNICAL SCIENCES INFORMATION SCIENCE, 2009, 10 (02): : 125 - 131
  • [45] Stochastic ordering of bivariate elliptical distributions
    Landsman, Z
    Tsanakas, A
    STATISTICS & PROBABILITY LETTERS, 2006, 76 (05) : 488 - 494
  • [46] On the Basel Liquidity Formula for Elliptical Distributions
    Balter, Janine
    McNeil, Alexander J.
    RISKS, 2018, 6 (03):
  • [47] A multivariate two-factor skew model
    Gupta, Arjun K.
    Chen, John T.
    Tang, J.
    STATISTICS, 2007, 41 (04) : 301 - 309
  • [48] On the singularity of multivariate skew-symmetric models
    Ley, Christophe
    Paindaveine, Davy
    JOURNAL OF MULTIVARIATE ANALYSIS, 2010, 101 (06) : 1434 - 1444
  • [49] Definition and probabilistic properties of skew-distributions
    Arellano-Valle, RB
    del Pino, G
    San Martín, E
    STATISTICS & PROBABILITY LETTERS, 2002, 58 (02) : 111 - 121
  • [50] MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS
    Madan, Dilip B.
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2020, 23 (06)
12345