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Open AccessJournal ArticleDOI

A General Class of Multivariate Skew-Elliptical Distributions

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TLDR
In this article, a general class of multivariate skew-elliptical distributions is proposed, which contains the multivariate normal, Student's t, exponential power, and Pearson type II, with an extra parameter to regulate skewness.
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This article is published in Journal of Multivariate Analysis.The article was published on 2001-10-01 and is currently open access. It has received 629 citations till now. The article focuses on the topics: Elliptical distribution & Multivariate stable distribution.

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Citations
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Journal ArticleDOI

Skew-normal factor analysis models with incomplete data

TL;DR: In this article, the latent factors are assumed to follow a restricted version of multivariate SN distribution with additional shape parameters for accommodating skewness, and an analytically feasible expectation conditional maximization algorithm for carrying out parameter estimation and imputation of missing values under missing at random mechanisms.
Journal ArticleDOI

A generalized two-piece skew normal distribution and some of its properties

TL;DR: In this paper, a generalized version of the two-piece skew normal distribution of Kim was developed, and explicit expressions for its distribution function and characteristic function were derived for the generalized distribution.
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Effects of skewness and kurtosis on production and hedging decisions: a skewed t distribution approach

TL;DR: In this article, the authors assume that the spot price follows a skewed Student t distribution to analyze the effects of skewness and kurtosis on production and hedging decisions for a competitive firm.
Journal ArticleDOI

A note on the direction maximizing skewness in multivariate skew-t vectors

TL;DR: In this article, the problem of finding the direction with maximal skewness for a random vector that follows a multivariate skew-t distribution is addressed. And the result relies on the well-known representation of the multivariate skewness distribution as a scale mixture of skew-normal multivariate distributions.
Journal ArticleDOI

H-Likelihood Approach to Factor Analysis for Ordinal Data

TL;DR: This study proposes a hierarchical likelihood approach using the Laplace approximation that remains computationally efficient in large models and also proposed confidence intervals for factors, which maintains the level of confidence as the sample size increases.
References
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MonographDOI

Stable Non-Gaussian Random Processes : Stochastic Models with Infinite Variance

TL;DR: In this paper, the authors introduce sample path properties such as boundedness, continuity, and oscillations, as well as integrability, and absolute continuity of the path in the real line.
Book

Symmetric Multivariate and Related Distributions

TL;DR: In this article, the authors define marginal distributions, moments and density marginal distributions moments density the relationship between (phi and f) conditional distributions properties of elliptically symmetric distributions mixtures of normal distributions robust statistics and regression model robust statistics regression model log-elliptical and additive logistic elliptical distributions multivariate log elliptical distribution additive logistics elliptical distribution complex elliptical symmetric distribution.
Journal ArticleDOI

The multivariate skew-normal distribution

Adelchi Azzalini, +1 more
- 01 Dec 1996 - 
TL;DR: In this article, a multivariate parametric family such that the marginal densities are scalar skew-normal is introduced, and its properties are studied with special emphasis on the bivariate case.
Journal ArticleDOI

Statistical applications of the multivariate skew normal distribution

TL;DR: Azzalini and Dalla Valle as discussed by the authors have discussed the multivariate skew normal distribution which extends the class of normal distributions by the addition of a shape parameter, and a further extension is described which introduces a skewing factor of an elliptical density.
Journal ArticleDOI

Statistical applications of the multivariate skew-normal distribution

TL;DR: Azzalini and Dalla Valle as mentioned in this paper have recently discussed the multivariate skew-normal distribution which extends the class of normal distributions by the addition of a shape parameter.
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