| 从SPVⅡ分布生成的新的多元偏态t分布的有关性质 |
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| 引用本文： | 温阳俊,朱道元.从SPVⅡ分布生成的新的多元偏态t分布的有关性质[J].应用概率统计,2010,26(4):367-383. |
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| 作者姓名： | 温阳俊 朱道元 |
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| 作者单位： | 温阳俊(南京农业大学数学系,南京,210095);朱道元(东南大学数学系,南京,210096) |
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| 基金项目： | 南京农业大学青年科技创新基金 |
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| 摘 要： | 随机向量的t分布属于椭球等高分布族,然而,它是对称分布.在许多诸如经济学、生理学、社会学等领域中,有时回归模型中的随机误差不再满足对称性,通常表现出高度的偏态性(skewness).于是就有了偏态椭球等高分布族.本文在已有的多元偏态t分布的基础上,着重研究它的分布性质,包括线性组合分布、边缘分布、条件分布及各阶矩.
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| 关 键 词： | 偏态Pearson VII型分布 偏态$t$分布 偏态正态分布 />密度生成函数 矩生成函数. |
Properties of New Multivariate Skew $t$ Distributions
Generated from Skew Pearson VII Distributions |
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| Wen Yangjun,Zhu Daoyuan.Properties of New Multivariate Skew $t$ Distributions
Generated from Skew Pearson VII Distributions[J].Chinese Journal of Applied Probability and Statisties,2010,26(4):367-383. |
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| Authors: | Wen Yangjun Zhu Daoyuan |
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| Institution: | Nanjing AgriculturalUniversity,Southeast University |
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| Abstract: | Multivariate $t$ distributions belong to
elliptically contoured distributions. However, they are symmetric.
In many fields such as economics, psychology and sociology,
sometimes error structures in a regression type models no longer
satisfy symmetric property. Generally there is a presence of high
skewness. Therefore, multivariate skew elliptical distributions have
been developed. In this paper, properties about known family of
multivariate skew $t$ distributions are stressed. Linear
transformations, marginal and conditional density are given. Also
moments are derived. |
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