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- Title
Quadratic forms of refined skew normal models based on stochastic representation.
- Authors
Weizhong Tian; Tonghui Wang
- Abstract
Wang, Li and Gupta [17] first introduced the skew chi-square distribution based on the multivariate skew normal distribution provided by Azzalini [2], and Ye, Wang and Gupta [18] extended this results into the skew Wishart distribution. Motivated by these results, we first study a new type of multivariate skew normal distribution introduced by Gupta and Chen [12], the moment generating function, independence and quadratic form are discussed, and also a new type of skew chi-square distribution was introduced. Later on, we defined a new type of skewWishart distribution based on the matrix skew normal models introduced by Ning [15]. In the end, we will study the probabilistic representation of multivariate skew elliptical models.
- Subjects
QUADRATIC forms; STOCHASTIC analysis; CHI-square distribution; SKEWNESS (Probability theory); MULTIVARIATE analysis
- Publication
Random Operators & Stochastic Equations, 2016, Vol 24, Issue 4, p225
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/rose-2016-0016