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Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions

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  • Yin, Chuancun
  • Balakrishnan, Narayanaswamy

Abstract

The family of multivariate skew-normal distributions has many interesting properties. It is shown here that these hold for a general class of skew-elliptical distributions. For this class, several stochastic representations are established and then their probabilistic properties, such as characteristic function, moments, quadratic forms as well as transformation properties, are investigated.

Suggested Citation

  • Yin, Chuancun & Balakrishnan, Narayanaswamy, 2024. "Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
    • Handle: RePEc:eee:jmvana:v:199:y:2024:i:c:s0047259x23000866
    DOI: 10.1016/j.jmva.2023.105240
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