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Moments and quadratic forms of matrix variate skew normal distributions |
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| Authors: | Shimin Zheng Jeff Knisley Kesheng Wang |
| Institution: | 1. Department of Biostatistics and Epidemiology, Institute for Quantitative Biology, East Tennessee State University, Johnson City, TN, USA;2. Department of Finance, Nanjing Audit University, Nanjing, P.R. Chinazhengs@etsu.edu;4. Department of Mathematics and Statistics, Institute for Quantitative Biology, East Tennessee State University, Johnson City, TN, USA |
| Abstract: | ABSTRACTIn 2007, Domínguez-Molina et al. obtained the moment generating function (mgf) of the matrix variate closed skew normal distribution. In this paper, we use their mgf to obtain the first two moments and some additional properties of quadratic forms for the matrix variate skew normal distributions. The quadratic forms are particularly interesting because they are essentially correlation tests that introduce a new type of orthogonality condition. |
| Keywords: | Correlation Matrix variate Matrix variate closed skew normal distributions Moment Moment generating function Skew normal distribution Quadratic form |