A note on an equivalence between chi-square and generalized skew-normal distributions

Jiuzhou Wang; Joseph Boyer; Marc G. Genton

doi:10.1016/j.spl.2003.11.006

A note on an equivalence between chi-square and generalized skew-normal distributions

Jiuzhou Wang, Joseph Boyer, Marc G. Genton^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

In this note, we establish an equivalence between chi-square and generalized skew-normal distributions. This result is based on a distributional invariance property of even functions in generalized skew-normal random vectors. It extends the chi-square properties related to univariate and multivariate skew-normal distributions.

Original language	English (US)
Pages (from-to)	395-398
Number of pages	4
Journal	Journal of Monetary Economics
Volume	51
Issue number	2
DOIs	https://doi.org/10.1016/j.spl.2003.11.006
State	Published - Mar 2004
Externally published	Yes

Keywords

Chi-square distribution
Generalized skew-normal distribution
Invariance

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.spl.2003.11.006

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title = "A note on an equivalence between chi-square and generalized skew-normal distributions",

abstract = "In this note, we establish an equivalence between chi-square and generalized skew-normal distributions. This result is based on a distributional invariance property of even functions in generalized skew-normal random vectors. It extends the chi-square properties related to univariate and multivariate skew-normal distributions.",

keywords = "Chi-square distribution, Generalized skew-normal distribution, Invariance",

author = "Jiuzhou Wang and Joseph Boyer and Genton, {Marc G.}",

year = "2004",

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AU - Genton, Marc G.

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AB - In this note, we establish an equivalence between chi-square and generalized skew-normal distributions. This result is based on a distributional invariance property of even functions in generalized skew-normal random vectors. It extends the chi-square properties related to univariate and multivariate skew-normal distributions.

KW - Chi-square distribution

KW - Generalized skew-normal distribution

KW - Invariance

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DO - 10.1016/j.spl.2003.11.006

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A note on an equivalence between chi-square and generalized skew-normal distributions

Abstract

Keywords

ASJC Scopus subject areas

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