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arXiv · 2309.08085

Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions

Chuancun Yin·Narayanaswamy Balakrishnan
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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.

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Chuancun Yin, Narayanaswamy Balakrishnan. 2023-09-15. Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions. https://arxiv.org/abs/2309.08085

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