Marginal Replacement in Multivariate Densities, with Application to Skewing Spherically Symmetric Distributions

We consider a simple general construct, that of marginal replacement in a multivariate distribution, that provides, in particular, an interesting way of producing distributions that have a skew marginal from spherically symmetric starting points. Particular examples include a new multivariate beta distribution and a new multivariate t/skewÂ t distribution, along with Azzalini and colleagues' multivariate skew normal distribution.

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Year of publication:	2002
Authors:	Jones, M. C.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 81.2002, 1, p. 85-99
Publisher:	Elsevier
Keywords:	multivariate beta distribution multivariate t distribution skew normal distribution skew t distribution transformation

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

Persistent link: https://www.econbiz.de/10005221321