Moments of skew-normal random vectors and their quadratic forms

被引：107

作者：

Genton, MG ^{[1
]}

He, L ^{[1
]}

Liu, XW ^{[1
]}

机构：

[1] MIT, Dept Math, Cambridge, MA 02139 USA

来源：

STATISTICS & PROBABILITY LETTERS | 2001年 / 51卷 / 04期

关键词：

autocovariance function; multivariate skew-normal distribution; quadratic form; variogram;

D O I：

10.1016/S0167-7152(00)00164-4

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper. we derive the moments of random vectors with multivariate skew-normal distribution and their quadratic forms. Applications to time series and spatial statistics are discussed. In particular, it is shown that the moments of the sample autocovariance function and of the sample variogram estimator do not depend on the skewness vector. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：319 / 325

页数：7