Moments of skew-normal random vectors and their quadratic forms

In this paper, we derive the moments of random vectors with multivariate skew-normal distribution and their quadratic forms. Applications to time series and spatial statistics are discussed. In particular, it is shown that the moments of the sample autocovariance function and of the sample variogram estimator do not depend on the skewness vector.

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Year of publication:	2001
Authors:	Genton, Marc G. ; He, Li ; Liu, Xiangwei
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 51.2001, 4, p. 319-325
Publisher:	Elsevier
Keywords:	Autocovariance function Multivariate skew-normal distribution Quadratic form Variogram

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

Persistent link: https://www.econbiz.de/10005259394