Abstract

The multivariate split normal distribution extends the usual multivariate normal distribution by a set of parameters which allows for skewness in the form of contraction/dilation along a subset of the principal axes. This note derives some properties for this distribution, including its moment generating function, multivariate skewness and multivariate kurtosis.

Keywords: Multivariate analysis; Elicitation of distributions; Multivariate skewness; Moment generating function: Multivariate kurtosis.