A proof for the existence of multivariate singular generalized skew-elliptical density functions

作者：Shushi Tomer^*

来源：Statistics & Probability Letters, 2018, 141: 50-55.

DOI：10.1016/j.spl.2018.05.018

• Affine subspace
• Characteristic function
• Generalized skew-elliptical distributions
• High-dimensional data
• Lebesgue measure
• Pseudoinverse

We derive the density functions of multivariate singular generalized skew-elliptical distributions, present their characteristic function, and derive explicit formulas for the expectation and the covariance matrix. This letter generalizes results given in Diaz-Garcia et al. (2002) and Young et al. (2016) about the existence of multivariate singular elliptical and multivariate singular skew-normal density functions, respectively.

• 出版日期2018-10