A new family of slash-distributions with elliptical contours

Gomez, HW; Quintana, FA; Torres, FJ

Abstract

We introduce a new family of univariate and multivariate slash-distributions. Our construction is based on elliptical distributions. We define the new family by means of a stochastic representation as the scale mixture of an elliptically distributed random variable with respect to the power of a U (0, 1) random variable. The same idea is extended to the multivariate case. We study general properties of the resulting families, including their moments. We illustrate special cases of interest, such as Normal, Cauchy, Student-t, Type II Pearson and Kotz-type distributions. © 2007 Elsevier B.V. All rights reserved.

Más información

Título según WOS: A new family of slash-distributions with elliptical contours
Título según SCOPUS: A new family of slash-distributions with elliptical contours
Título de la Revista: STATISTICS & PROBABILITY LETTERS
Volumen: 77
Número: 7
Editorial: ELSEVIER SCIENCE BV
Fecha de publicación: 2007
Página de inicio: 717
Página final: 725
Idioma: English
URL: http://linkinghub.elsevier.com/retrieve/pii/S0167715206003415
DOI:

10.1016/j.spl.2006.11.006

Notas: ISI, SCOPUS