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On the multivariate skew-normal-Cauchy distribution

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  • Kahrari, F.
  • Rezaei, M.
  • Yousefzadeh, F.
  • Arellano-Valle, R.B.

Abstract

We study some of the main probabilistic properties of the so called multivariate skew-normal-Cauchy distribution. Simple expressions to compute the entries of the expected Fisher information matrix of this multivariate distribution are proposed.

Suggested Citation

  • Kahrari, F. & Rezaei, M. & Yousefzadeh, F. & Arellano-Valle, R.B., 2016. "On the multivariate skew-normal-Cauchy distribution," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 80-88.
    • Handle: RePEc:eee:stapro:v:117:y:2016:i:c:p:80-88
    DOI: 10.1016/j.spl.2016.05.005
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    References listed on IDEAS

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    9. Christophe Ley & Davy Paindaveine, 2010. "On Fisher information matrices and profile log-likelihood functions in generalized skew-elliptical models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 235-250.
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    13. Arellano-Valle, Reinaldo B. & Genton, Marc G. & Loschi, Rosangela H., 2009. "Shape mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 91-101, January.
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    Cited by:

    1. F. Kahrari & C. S. Ferreira & R. B. Arellano-Valle, 2019. "Skew-Normal-Cauchy Linear Mixed Models," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(2), pages 185-202, December.
    2. Kahrari, F. & Arellano-Valle, R.B. & Rezaei, M. & Yousefzadeh, F., 2017. "Scale mixtures of skew-normal-Cauchy distributions," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 1-6.
    3. Arellano-Valle, Reinaldo B. & Ferreira, Clécio S. & Genton, Marc G., 2018. "Scale and shape mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 98-110.

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