Some Properties of the Multivariate Split Normal Distribution
Rolf Larsson and Mattias Villani
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.
Multivariate analysis; Elicitation of distributions; Multivariate skewness;
Moment generating function: Multivariate kurtosis.
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