A new family of slash-distributions with elliptical contours
Loading...
Date
2007
Journal Title
Journal ISSN
Volume Title
Publisher
ELSEVIER SCIENCE BV
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. (c) 2007 Elsevier B.V. All rights reserved.
Description
Keywords
kurtosis, scale mixtures of elliptical distributions, symmetric distributions