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Characteristic functions of scale mixtures of multivariate skew-normal distributions

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  • Kim, Hyoung-Moon
  • Genton, Marc G.

Abstract

We obtain the characteristic function of scale mixtures of skew-normal distributions both in the univariate and multivariate cases. The derivation uses the simple stochastic relationship between skew-normal distributions and scale mixtures of skew-normal distributions. In particular, we describe the characteristic function of skew-normal, skew-t, and other related distributions.

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  • Kim, Hyoung-Moon & Genton, Marc G., 2011. "Characteristic functions of scale mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(7), pages 1105-1117, August.
    • Handle: RePEc:eee:jmvana:v:102:y:2011:i:7:p:1105-1117
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    References listed on IDEAS

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    Cited by:

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    4. Otiniano, C.E.G. & Rathie, P.N. & Ozelim, L.C.S.M., 2015. "On the identifiability of finite mixture of Skew-Normal and Skew-t distributions," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 103-108.
    5. S. Rao Jammalamadaka & Tomasz J. Kozubowski, 2017. "A General Approach for Obtaining Wrapped Circular Distributions via Mixtures," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 79(1), pages 133-157, February.
    6. Jiménez-Gamero, M. Dolores & Kim, Hyoung-Moon, 2015. "Fast goodness-of-fit tests based on the characteristic function," Computational Statistics & Data Analysis, Elsevier, vol. 89(C), pages 172-191.
    7. Vilca, Filidor & Balakrishnan, N. & Zeller, Camila Borelli, 2014. "Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 73-85.
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