Moving average and autoregressive correlation structures under multivariate skew normality

DOI10.1080/03610918.2020.1847292OpenAlexW3113532674MaRDI QIDQ6171279

Timothy Opheim, Anuradha Roy

Publication date: 17 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2020.1847292

zbMATH Keywords

multivariate skew normal distributionparameter space of the correlation parametersstructured correlation matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

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• The inversion of correlation matrix for MA(1) process
• On the correlation structures of multivariate skew-normal distribution
• Statistical Applications of the Multivariate Skew Normal Distribution
• The multivariate skew-normal distribution
• On Parametrization of Multivariate Skew-Normal Distribution
• On the inverse of the covariance matrix for an autoregressive-moving average process

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