On the joint distribution of a linear and a quadratic form in skew normal variables
Keywords: cumulants, linear form, moments, moment generating function, skew normal distribution
Let z be distributed as multivariate skew normal vector. We derive the joint moment generating function (m.g.f.) of a linear form and a quadratic form in z, and the conditions for their independence. The first two multivariate cumulants of the two forms are derived and applied in special cases. Finally a simulation example is presented.
Download data is not yet available.