Characteristic functions of scale mixtures of multivariate skew-normal distributions
KAUST Grant NumberKUS-C1-016-04
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AbstractWe 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. © 2011 Elsevier Inc.
CitationKim H-M, Genton MG (2011) Characteristic functions of scale mixtures of multivariate skew-normal distributions. Journal of Multivariate Analysis 102: 1105–1117. Available: http://dx.doi.org/10.1016/j.jmva.2011.03.004.
SponsorsThe authors thank Reinaldo Arellano-Valle, Cornelis Potgieter, and an anonymous referee for valuable comments. Genton's research was supported in part by NSF grant DMS-1007504 and by Award No. KUS-C1-016-04, made by King Abdullah University of Science and Technology (KAUST).
JournalJournal of Multivariate Analysis