A model for principal components of correlation matrices is proposed. The model satisfies the correlation constraint (i.e., unit valued diagonal elements) as well as optional constraints on eigenvalues and/or eigenvectors. The model yields simplified principal components that retain both...

In this paper, we introduce a novel class of skewed multivariate distributions and, more generally, a method of building such a class on the basis of univariate skewed distributions. The method is based on a general linear transformation of a multidimensional random variable with independent...