Abstract
We obtain the characteristic function of scale mixtures of skew-normal distributions both in the univariate and multivariate cases. The derivation uses the simple stochastic relationship between skew-normal distributions and scale mixtures of skew-normal distributions. In particular, we describe the characteristic function of skew-normal, skew-t, and other related distributions.
Original language | English (US) |
---|---|
Pages (from-to) | 1105-1117 |
Number of pages | 13 |
Journal | JOURNAL OF MULTIVARIATE ANALYSIS |
Volume | 102 |
Issue number | 7 |
DOIs | |
State | Published - Aug 2011 |
Externally published | Yes |
Keywords
- Characteristic function
- Mixing
- Multivariate
- Scale mixture
- Selection
- Skew-normal
- Skew-t
ASJC Scopus subject areas
- Statistics and Probability
- Numerical Analysis
- Statistics, Probability and Uncertainty