A multivariate skew normal distribution

In this paper, we define a new class of multivariate skew-normal distributions. Its properties are studied. In particular we derive its density, moment generating function, the first two moments and marginal and conditional distributions. We illustrate the contours of a bivariate density as well as conditional expectations. We also give an extension to construct a general multivariate skew normal distribution.

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Year of publication:	2004
Authors:	Gupta, Arjun K. ; González-Farías, Graciela ; Domínguez-Molina, J. Armando
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 89.2004, 1, p. 181-190
Publisher:	Elsevier
Keywords:	Non-normal models Density Marginal Conditional Regression Moments Moment generating function Contours

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

Persistent link: https://www.econbiz.de/10005106980