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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

Credit contagion in the presence of non-normal shocks

TL;DR: In this article, the authors generalize existing structural credit risk models that account for contagion effects across economic sectors, to capture the impact of neglected skewness and excess kurtosis in the asset return process, on the shape of the credit loss distribution.
Book ChapterDOI

The Inference on the Location Parameters Under Multivariate Skew Normal Settings

TL;DR: Confidence regions of the location parameter, \(\varvec{\mu }\), with known scale parameter and shape parameter are obtained by the pivotal method, Inferential Models (IMs), and robust method, respectively and the hypothesis test is studied using non-central skew Chi-square distribution.
Journal ArticleDOI

Multivariate measures of skewness for the scale mixtures of skew-normal distributions

TL;DR: In this paper, several measures of multivariate skewness for scale mixtures of skew-normal distributions are derived and the similarities, differences, and behavior of these measures are explored for cases of some specific members of the multivariate skew normal and skew-t distributions using a simulation study.
Journal ArticleDOI

On simulating Balakrishnan skew-normal variates

TL;DR: This work introduces an alternative scheme for simulating from this distribution based on acceptance/rejection sampling that is more efficient and derives various stochastic representations for the Balakrishnan skew-normal distribution.
Journal ArticleDOI

Robust clustering of multiply censored data via mixtures of t factor analyzers

TL;DR: This paper presents an extended framework of MtFA that can accommodate censored data, referred to as MtFAC in short, and constructs an alternating expectation conditional maximization algorithm in which the E-step relies on the first-two moments of truncated multivariate-t distributions and CM-steps offer tractable solutions of updated estimators.
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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