Abstract #300781

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JSM 2002 Abstract #300781
Activity Number: 102
Type: Topic Contributed
Date/Time: Monday, August 12, 2002 : 10:30 AM to 12:20 PM
Sponsor: General Methodology
Abstract - #300781
Title: Definition and Probabilistic Properties of Skew-Distributions
Author(s): Reinaldo Arellano-Valle*+ and Guido Del Pino and Ernesto San Martin
Affiliation(s): Pontificia Universidad Catolica de Chile and Pontificia Universidad Catolica de Chile and Pontificia Universidad Catolica de Chile
Address: Casilla 306, Correo 22, Santiago, International, , Chile
Keywords: skew-normal ; stochastic representations ; spherical and elliptical distributions
Abstract:

The univariate and multivariate skew-normal distributions have a number of intriguing properties. It is shown here that these hold for a general class of distributions, defined in terms of independence conditions on signs and absolute values. For this class, two stochastic representations become equivalent, one using conditioning on the positivity of a random vector and the other employing a vector of absolute values. General methods for computing moments and for obtaining the density function of a general skew-distribution are given. The case of spherical and elliptical distributions is briefly discussed.

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