Characteristic functions of scale mixtures of multivariate skew-normal distributions

Authors:
Hyoung-Moon Kim;Marc G. Genton
Affiliations:
Department of Applied Statistics, Konkuk University, Seoul, Republic of Korea;Department of Statistics, Texas A&M University, College Station, USA
Venue:
Journal of Multivariate Analysis
Year:
2011

Citing 3
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Abstract

We obtain the characteristic function of scale mixtures of skew-normal distributions both in the univariate and multivariate cases. The derivation uses the simple stochastic relationship between skew-normal distributions and scale mixtures of skew-normal distributions. In particular, we describe the characteristic function of skew-normal, skew-t, and other related distributions.