Multivariate log-skew-elliptical distributions with applications to precipitation data

We introduce a family of multivariate log-skew-elliptical distributions, extending the list of multivariate distributions with positive support. We investigate their probabilistic properties such as stochastic representations, marginal and conditional distributions, and existence of moments, as well as inferential properties. We demonstrate, for example, that as for the log-t distribution, the positive moments of the log-skew-t distribution do not exist. Our emphasis is on two special cases, the log-skew-normal and log-skew-t distributions, which we use to analyze US national (univariate) and regional (multivariate) monthly precipitation data. Copyright (C) 2009 John Wiley & Sons, Ltd.