Multivariate log-skew-elliptical distributions with applications to precipitation data
KAUST Grant NumberKUS-C1-016-04
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AbstractWe introduce a family of multivariate log-skew-elliptical distributions, extending the list of multivariate distributions with positive support. We investigate their probabilistic properties such as stochastic representations, marginal and conditional distributions, and existence of moments, as well as inferential properties. We demonstrate, for example, that as for the log-t distribution, the positive moments of the log-skew-t distribution do not exist. Our emphasis is on two special cases, the log-skew-normal and log-skew-t distributions, which we use to analyze US national (univariate) and regional (multivariate) monthly precipitation data. © 2009 John Wiley & Sons, Ltd.
CitationMarchenko YV, Genton MG (2009) Multivariate log-skew-elliptical distributions with applications to precipitation data. Environmetrics 21: 318–340. Available: http://dx.doi.org/10.1002/env.1004.
SponsorsGenton’s research was supported in part by NSF grants DMS-0504896, CMG ATM-0620624, and by AwardNo. KUS-C1-016-04, made by King Abdullah University of Science and Technology (KAUST). The authors thankReinaldo B. Arellano-Valle, Kenneth P. Bowman, and a referee for their helpful comments and suggestions. The mapof US climatic regions was made available by the National Oceanic and Atmospheric Administration/Departmentof Commerce