Abstract
We 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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 318-340 |
| Number of pages | 23 |
| Journal | Environmetrics |
| Volume | 21 |
| Issue number | 3-4 |
| DOIs | |
| State | Published - May 2010 |
| Externally published | Yes |
Bibliographical note
KAUST Repository Item: Exported on 2020-10-01Acknowledged KAUST grant number(s): KUS-C1-016-04
Acknowledgements: Genton’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
This publication acknowledges KAUST support, but has no KAUST affiliated authors.
Keywords
- Climatic regions
- Extreme events
- Heavy tails
- Log-skew-normal
- Log-skew-t
- Moments
- Multivariate
- Precipitation
- Skewness
ASJC Scopus subject areas
- Ecological Modeling
- Statistics and Probability