The multivariate skew-normal distribution. (English) Zbl 0885.62062

Azzalini, A.; Dalla Valle, A.

Biometrika 83, No. 4, 715-726 (1996).

Summary: The paper extends earlier work on the so-called skew-normal distribution, a family of distributions including the normal, but with an extra parameter to regulate skewness. The present work introduces a multivariate parametric family such that the marginal densities are scalar skew-normal, and studies its properties, with special emphasis on the bivariate case.

MSC:

62H05

Characterization and structure theory for multivariate probability distributions; copulas

Keywords:

bivariate distribution; multivariate normal distribution; specified marginal skewness