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A non-Gaussian multivariate distribution with all lower-dimensional Gaussians and related families

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  • Dutta, Subhajit
  • Genton, Marc G.

Abstract

Several fascinating examples of non-Gaussian bivariate distributions which have marginal distribution functions to be Gaussian have been proposed in the literature. These examples often clarify several properties associated with the normal distribution. In this paper, we generalize this result in the sense that we construct a p-dimensional distribution for which any proper subset of its components has the Gaussian distribution. However, the jointp-dimensional distribution is inconsistent with the distribution of these subsets because it is not Gaussian. We study the probabilistic properties of this non-Gaussian multivariate distribution in detail. Interestingly, several popular tests of multivariate normality fail to identify this p-dimensional distribution as non-Gaussian. We further extend our construction to a class of elliptically contoured distributions as well as skewed distributions arising from selections, for instance the multivariate skew-normal distribution.

Suggested Citation

  • Dutta, Subhajit & Genton, Marc G., 2014. "A non-Gaussian multivariate distribution with all lower-dimensional Gaussians and related families," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 82-93.
    • Handle: RePEc:eee:jmvana:v:132:y:2014:i:c:p:82-93
    DOI: 10.1016/j.jmva.2014.07.007
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    References listed on IDEAS

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    1. Reinaldo Arellano-Valle & Marc Genton, 2010. "An invariance property of quadratic forms in random vectors with a selection distribution, with application to sample variogram and covariogram estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(2), pages 363-381, April.
    2. Cuesta-Albertos, J.A. & del Barrio, E. & Fraiman, R. & Matran, C., 2007. "The random projection method in goodness of fit for functional data," Computational Statistics & Data Analysis, Elsevier, vol. 51(10), pages 4814-4831, June.
    3. Bo Li & Marc G. Genton, 2013. "Nonparametric Identification of Copula Structures," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(502), pages 666-675, June.
    4. Arellano-Valle, R. B. & del Pino, G. & San Martín, E., 2002. "Definition and probabilistic properties of skew-distributions," Statistics & Probability Letters, Elsevier, vol. 58(2), pages 111-121, June.
    5. Szekely, Gábor J. & Rizzo, Maria L., 2005. "A new test for multivariate normality," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 58-80, March.
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    Cited by:

    1. Chowdhury, Joydeep & Dutta, Subhajit & Arellano-Valle, Reinaldo B. & Genton, Marc G., 2022. "Sub-dimensional Mardia measures of multivariate skewness and kurtosis," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    2. Moreno Bevilacqua & Christian Caamaño-Carrillo & Reinaldo B. Arellano-Valle & Camilo Gómez, 2022. "A class of random fields with two-piece marginal distributions for modeling point-referenced data with spatial outliers," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 644-674, September.
    3. Sugata Ghosh & Subhajit Dutta & Marc G. Genton, 2017. "A note on inconsistent families of discrete multivariate distributions," Journal of Statistical Distributions and Applications, Springer, vol. 4(1), pages 1-13, December.

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