Characteristic functions of scale mixtures of multivariate skew-normal distributions
Type
ArticleAuthors
Kim, Hyoung-MoonGenton, Marc G.

KAUST Grant Number
KUS-C1-016-04Date
2011-08Permanent link to this record
http://hdl.handle.net/10754/597754
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Show full item recordAbstract
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. © 2011 Elsevier Inc.Citation
Kim 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.Sponsors
The 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).Publisher
Elsevier BVJournal
Journal of Multivariate Analysisae974a485f413a2113503eed53cd6c53
10.1016/j.jmva.2011.03.004