Some moment relationships for multivariate skew-symmetric distributions

Moments of multivariate skew-symmetric distributions which are generated from spherically symmetric and elliptically symmetric kernels are considered. For a rather general class of spherically symmetric kernels a strong relationship to the univariate case is established. This is exploited to demonstrate that the structure of the mean is that of shrinkage towards the origin. This result is generalized to skew-elliptical distributions.

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Year of publication:	2008
Authors:	Umbach, Dale
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 12, p. 1619-1623
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005223980