A General Class of Multivariate Skew-Elliptical Distributions

This paper proposes a general class of multivariate skew-elliptical distributions. We extend earlier results on the so-called multivariate skew-normal distribution. This family of distributions contains the multivariate normal, Student's t, exponential power, and Pearson type II, but with an extra parameter to regulate skewness. We also obtain the moment generating functions and study some distributional properties. Several examples are provided.

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Year of publication:	2001
Authors:	Branco, Márcia D. ; Dey, Dipak K.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 79.2001, 1, p. 99-113
Publisher:	Elsevier
Keywords:	elliptical distributions exponential power family mixture of normals Pearson type II skewness

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153237