Explicit formulas for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical distributions

Tomer Shushi

doi:https://doi.org/10.1080/03610926.2018.1473605

Explicit formulas for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical distributions

Research output: Contribution to journal › Article › peer-review

Abstract

In this letter explicit expressions are derived for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical family of distributions. The general calculations of such moments are described by multivariate integrals which complicate the calculations. We show how such multivariate computations can be projected into a univariate framework, which extremely simplifies the computations.

Original language	American English
Pages (from-to)	3085-3091
Number of pages	7
Journal	Communications in Statistics - Theory and Methods
Volume	48
Issue number	12
DOIs	https://doi.org/10.1080/03610926.2018.1473605
State	Published - 18 Jun 2019
Externally published	Yes

Keywords

Cumulants
multivariate moments
skew-elliptical distributions
skew-normal distribution
vector-valued moments

All Science Journal Classification (ASJC) codes

Statistics and Probability

Access to Document

https://doi.org/10.1080/03610926.2018.1473605

Cite this

@article{c3faaff347c0404a80d50ee79e9b89d7,

title = "Explicit formulas for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical distributions",

abstract = "In this letter explicit expressions are derived for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical family of distributions. The general calculations of such moments are described by multivariate integrals which complicate the calculations. We show how such multivariate computations can be projected into a univariate framework, which extremely simplifies the computations.",

keywords = "Cumulants, multivariate moments, skew-elliptical distributions, skew-normal distribution, vector-valued moments",

author = "Tomer Shushi",

note = "Publisher Copyright: {\textcopyright} 2018, {\textcopyright} 2018 Taylor & Francis Group, LLC.",

year = "2019",

month = jun,

day = "18",

doi = "https://doi.org/10.1080/03610926.2018.1473605",

language = "American English",

volume = "48",

pages = "3085--3091",

journal = "Communications in Statistics - Theory and Methods",

issn = "0361-0926",

publisher = "Taylor and Francis Ltd.",

number = "12",

}

TY - JOUR

T1 - Explicit formulas for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical distributions

AU - Shushi, Tomer

PY - 2019/6/18

Y1 - 2019/6/18

N2 - In this letter explicit expressions are derived for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical family of distributions. The general calculations of such moments are described by multivariate integrals which complicate the calculations. We show how such multivariate computations can be projected into a univariate framework, which extremely simplifies the computations.

AB - In this letter explicit expressions are derived for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical family of distributions. The general calculations of such moments are described by multivariate integrals which complicate the calculations. We show how such multivariate computations can be projected into a univariate framework, which extremely simplifies the computations.

KW - Cumulants

KW - multivariate moments

KW - skew-elliptical distributions

KW - skew-normal distribution

KW - vector-valued moments

UR - http://www.scopus.com/inward/record.url?scp=85057325744&partnerID=8YFLogxK

U2 - https://doi.org/10.1080/03610926.2018.1473605

DO - https://doi.org/10.1080/03610926.2018.1473605

M3 - Article

SN - 0361-0926

VL - 48

SP - 3085

EP - 3091

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 12

ER -

Explicit formulas for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical distributions

Abstract

Keywords

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Fingerprint

Cite this