Characteristic functions of scale mixtures of multivariate skew-normal distributions

We obtain the characteristic function of scale mixtures of skew-normal distributions both in the univariate and multivariate cases. The derivation uses the simple stochastic relationship between skew-normal distributions and scale mixtures of skew-normal distributions. In particular, we describe the characteristic function of skew-normal, skew-t, and other related distributions.

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Year of publication:	2011
Authors:	Kim, Hyoung-Moon ; Genton, Marc G.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 102.2011, 7, p. 1105-1117
Publisher:	Elsevier
Keywords:	Characteristic function Mixing Multivariate Scale mixture Selection Skew-normal Skew-t

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

Persistent link: https://www.econbiz.de/10009142915