2003
DOI: 10.1111/1467-9868.00391
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Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution

Abstract: A fairly general procedure is studied to perturb a multivariate density satisfying a weak form of multivariate symmetry, and to generate a whole set of non-symmetric densities. The approach is sufficiently general to encompass some recent proposals in the literature, variously related to the skew normal distribution. The special case of skew elliptical densities is examined in detail, establishing connections with existing similar work. The final part of the paper specializes further to a form of multivariate … Show more

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Cited by 1,205 publications
(947 citation statements)
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References 30 publications
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“…where fh(y; h, ⌺h, Dh, h) is the multivariate skew t pdf for the hth component with location vector h, scale matrix ⌺h, skew parameter Dh and degrees of freedom h. The multivariate skew t distribution is defined by introducing skewness in a multivariate elliptically symmetric t distribution (26) f͑y;…”
Section: Methodsmentioning
confidence: 99%
“…where fh(y; h, ⌺h, Dh, h) is the multivariate skew t pdf for the hth component with location vector h, scale matrix ⌺h, skew parameter Dh and degrees of freedom h. The multivariate skew t distribution is defined by introducing skewness in a multivariate elliptically symmetric t distribution (26) f͑y;…”
Section: Methodsmentioning
confidence: 99%
“…One of these skew-normal formulations is given by Azzalini and Valle (1996) and examined further by Azzalini and Capitanio (1999) and others. Branco and Dey (2001) and Azzalini and Capitanio (2003) introduce an analogous skewt distribution. The other formulation is given by Sahu, Dey, and Branco (2003), for both skew-normal and skew-t distributions.…”
Section: Mixtures Of Asymmetric Componentsmentioning
confidence: 99%
“…4 and used in Ref. 23. The estimation of the parameters of a mixture model can be carried out using the expectation-maximization (EM) algorithm.…”
Section: The Jcm Algorithmmentioning
confidence: 99%