Generalized skew-elliptical distributions are closed under affine transformations

Tomer Shushi

doi:10.1016/j.spl.2017.10.012

Generalized skew-elliptical distributions are closed under affine transformations

Tomer Shushi

Actuarial Research Center (ARC)

Research output: Contribution to journal › Article › peer-review

Abstract

In this short letter we prove that the family of multivariate generalized skew-elliptical distributions is closed under affine transformations. This fundamental property has many applications in applied and theoretical probability.

Original language	English
Pages (from-to)	1-4
Number of pages	4
Journal	Statistics and Probability Letters
Volume	134
DOIs	https://doi.org/10.1016/j.spl.2017.10.012
State	Published - Mar 2018

Bibliographical note

Publisher Copyright:
© 2017 Elsevier B.V.

Keywords

Characteristic function
Generalized skew-elliptical distributions
Marginal distributions
Skewed distributions

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2017.10.012

Cite this

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title = "Generalized skew-elliptical distributions are closed under affine transformations",

abstract = "In this short letter we prove that the family of multivariate generalized skew-elliptical distributions is closed under affine transformations. This fundamental property has many applications in applied and theoretical probability.",

keywords = "Characteristic function, Generalized skew-elliptical distributions, Marginal distributions, Skewed distributions",

author = "Tomer Shushi",

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year = "2018",

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doi = "10.1016/j.spl.2017.10.012",

language = "English",

volume = "134",

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AB - In this short letter we prove that the family of multivariate generalized skew-elliptical distributions is closed under affine transformations. This fundamental property has many applications in applied and theoretical probability.

KW - Characteristic function

KW - Generalized skew-elliptical distributions

KW - Marginal distributions

KW - Skewed distributions

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U2 - 10.1016/j.spl.2017.10.012

DO - 10.1016/j.spl.2017.10.012

M3 - Article

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VL - 134

SP - 1

EP - 4

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Generalized skew-elliptical distributions are closed under affine transformations

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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