Quadratic forms in skew normal variates |
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| Authors: | Arjun K. Gupta Wen-Jang Huang |
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| Affiliation: | a Department of Mathematics and Statistics, Bowling Green State University, Bowling Green, OH 43403-0221, USA
b Department of Applied Mathematics, National University of Kaohsiung, Kaohsiung 811, Taiwan, ROC |
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| Abstract: | In this paper first a characterization of the multivariate skew normal distribution is given. Then the joint moment generating functions of two quadratic forms, and a linear compound and a quadratic form in skew normal variates, have been derived and conditions for their independence are given. Distribution of the ratios of quadratic forms in skew normal variates has also been studied. |
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| Keywords: | Characteristic function Independence Linear compound Moments Ratio of quadratic form Serial correlation |
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