In this paper, we derive the moments of random vectors with multivariate skew-normal distribution and their quadratic forms. Applications to time series and spatial statistics are discussed. In particular, it is shown that the moments of the sample autocovariance function and of the sample variogram estimator do not depend on the skewness vector.
- Autocovariance function
- Multivariate skew-normal distribution
- Quadratic form
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty