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A New Class of Multivariate Elliptically Contoured Distributions with Inconsistency Property

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  • Yeshunying Wang

    (Qufu Normal University)

  • Chuancun Yin

    (Qufu Normal University)

Abstract

We introduce a new class of multivariate elliptically symmetric distributions including elliptically symmetric logistic distributions and Kotz type distributions. We investigate the various probabilistic properties including marginal distributions, conditional distributions, linear transformations, characteristic functions and dependence measure in the perspective of the inconsistency property. In addition, we provide a real data example to show that the new distributions have reasonable flexibility.

Suggested Citation

  • Yeshunying Wang & Chuancun Yin, 2021. "A New Class of Multivariate Elliptically Contoured Distributions with Inconsistency Property," Methodology and Computing in Applied Probability, Springer, vol. 23(4), pages 1377-1407, December.
    • Handle: RePEc:spr:metcap:v:23:y:2021:i:4:d:10.1007_s11009-020-09817-7
    DOI: 10.1007/s11009-020-09817-7
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    References listed on IDEAS

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    1. Zinoviy Landsman & Emiliano Valdez, 2003. "Tail Conditional Expectations for Elliptical Distributions," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(4), pages 55-71.
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    3. Indranil Ghosh & Ayman Alzaatreh, 2018. "A new class of generalized logistic distribution," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(9), pages 2043-2055, May.
    4. Cambanis, Stamatis & Huang, Steel & Simons, Gordon, 1981. "On the theory of elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, vol. 11(3), pages 368-385, September.
    5. Kano, Y., 1994. "Consistency Property of Elliptic Probability Density Functions," Journal of Multivariate Analysis, Elsevier, vol. 51(1), pages 139-147, October.
    6. Liang, Jia-Juan & Bentler, Peter M., 1998. "Characterizations of some subclasses of spherical distributions," Statistics & Probability Letters, Elsevier, vol. 40(2), pages 155-164, September.
    7. Kotz, S. & Ostrovskii, I., 1994. "Characteristic Functions of a Class of Elliptic Distributions," Journal of Multivariate Analysis, Elsevier, vol. 49(1), pages 164-178, April.
    8. Ali, Mir M. & Mikhail, N. N. & Haq, M. Safiul, 1978. "A class of bivariate distributions including the bivariate logistic," Journal of Multivariate Analysis, Elsevier, vol. 8(3), pages 405-412, September.
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    Cited by:

    1. Liebscher Eckhard, 2023. "Constructing models for spherical and elliptical densities," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-19, January.

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