A new family of multivariate skew slash distribution

ABSTRACT

In this article, the new family of multivariate skew slash distribution is defined. According to the definition, a stochastic representation of the multivariate skew slash distribution is derived. The first four moments and measures of skewness and kurtosis of a random vector with the multivariate skew slash distribution are obtained. The distribution of quadratic forms for the multivariate skew slash distribution and the non central skew slash χ² distribution are studied. Maximum likelihood inference and real data illustration are discussed. In the end, the potential extension of multivariate skew slash distribution is discussed.

KEYWORDS:

• Moment-generating function
• Skew normal distribution
• Skew slash distribution
• Quadratic form.

MATHEMATICS SUBJECT CLASSIFICATION:

• 60E05
• 62H05
• 62H25

Acknowledgments

The authors thank two anonymous referees for their valuable comments and suggestions that help to improve this article significantly. The research of W. Tian was partially supported by Internal Grants from Eastern New Mexico University and funds from Hundred-Person Project of Shaanxi Province, China.

Additional information

Funding

Hundred-Person Project of Shaanxi Province, China, Internal Research Grant from Eastern New Mexico University