Distribution of quadratic forms under skew normal settings

For a class of multivariate skew normal distributions, the noncentral skew chi-square distribution is studied. The necessary and sufficient conditions under which a sequence of quadratic forms is generalized noncentral skew chi-square distributed random variables are obtained. Several examples are given to illustrate the results.

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Year of publication:	2009
Authors:	Wang, Tonghui ; Li, Baokun ; Gupta, Arjun K.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 100.2009, 3, p. 533-545
Publisher:	Elsevier
Subject:	primary \| 62H10 secondary \| 62E17 Multivariate skew normal distribution Noncentral skew chi-square distribution Necessary and sufficient conditions Cochran's theorem Moment generating function

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

Persistent link: https://www.econbiz.de/10005006440