A proof for the conjecture of characteristic function of the generalized skew-elliptical distributions

DOI10.1016/j.spl.2016.08.017zbMath1398.60033OpenAlexW2515759091WikidataQ123020158 ScholiaQ123020158MaRDI QIDQ334066

Tomer Shushi

Publication date: 31 October 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.08.017

zbMATH Keywords

characteristic functionskewed distributionsgeneralized skew elliptical distributions

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characteristic functions; other transforms (60E10)

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Multivariate tail covariance risk measure for generalized skew-elliptical distributions ⋮ Estimation of stress-strength reliability for the multivariate SGPII distribution ⋮ Stein’s Lemma for generalized skew-elliptical random vectors ⋮ Generalized skew-elliptical distributions are closed under affine transformations ⋮ A proof for the existence of multivariate singular generalized skew-elliptical density functions ⋮ The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution ⋮ Explicit formulas for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical distributions ⋮ Stress-strength reliability of generalized skew-elliptical distributions and its Bayes estimation

Cites Work

• Generalized skew-elliptical distributions and their quadratic forms
• Invariant tests for symmetry about an unspecified point based on the empirical characteristic function.

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