Multivariate inverse Gaussian and skew-normal densities

Based on inverse Gaussian random variables being transformations of skew-normal random variables, multivariate inverse Gaussian densities are obtained from appropriate multivariate skew-normal distributions. The new skew-normal distributions have some closure properties not satisfied by other multivariate skew-normal distributions.

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Year of publication:	2012
Authors:	Joe, Harry ; Seshadri, Vanamamalai ; Arnold, Barry C.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 12, p. 2244-2251
Publisher:	Elsevier
Subject:	Closure under margins \| t distribution \| Transformed random variables

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

Persistent link: https://www.econbiz.de/10010580424