On the correlation structures of multivariate skew-normal distribution
| Autor: | Meelis Käärik, Ene Käärik, Inger-Helen Maadik |
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| Rok vydání: | 2016 |
| Předmět: | |
| Zdroj: | Acta et Commentationes Universitatis Tartuensis de Mathematica. 20:83-100 |
| ISSN: | 2228-4699 1406-2283 |
| Popis: | Skew-normal distribution is an extension of the normal distribution where the symmetry of the normal distribution is distorted with an extra parameter. A multivariate skew-normal distribution has been parametrized differently to stress different aspects and constructions behind the distribution. There are several possible parametrizations available to define the skew-normal distribution. The current most common parametrization is through Ω and α , as an alternative, parametrization through Ω and δ can be used if straightforward relation to marginal distributions is of interest. The main problem with { Ω , δ }-parametrization is that the vector δ cannot be chosen independently of Ω . This motivated us to investigate what are the possibilities of choosing δ under different correlation structures of Ω . We also show how the assumptions on structure of δ and Ω affect the asymmetry parameter α and correlation matrix R of corresponding skew-normal random variable. |
| Databáze: | OpenAIRE |
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