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Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions
Published 15 Sep 2023 in math.ST and stat.TH | (2309.08085v1)
Abstract: The family of multivariate skew-normal distributions has many interesting properties. It is shown here that these hold for a general class of skew-elliptical distributions. For this class, several stochastic representations are established and then their probabilistic properties, such as characteristic function, moments, quadratic forms as well as transformation properties, are investigated.
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