Characteristic functions of scale mixtures of multivariate skew-normal distributions

Hyoung Moon Kim, Marc G. Genton*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

33 Scopus citations

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 languageEnglish (US)
Pages (from-to)1105-1117
Number of pages13
JournalJournal of Multivariate Analysis
Volume102
Issue number7
DOIs
StatePublished - Aug 2011
Externally publishedYes

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

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