A note on the direction maximizing skewness in multivariate skew-t vectors

In this note we address the problem of finding the direction with maximal skewness for a random vector that follows a multivariate skew-t distribution. The result relies on the well-known representation of the multivariate skew-t distribution as a scale mixture of skew-normal multivariate distributions.

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Year of publication:	2015
Authors:	Arevalillo, Jorge M. ; Navarro, Hilario
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 96.2015, C, p. 328-332
Publisher:	Elsevier
Subject:	Multivariate skew-t distribution \| Skewness maximization \| Scale mixtures \| Multivariate skew-normal distribution

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011115930