Title: An Alternative Matrix Skew-Normal Random Matrix and Some Properties

Issue: Volume 82 Series A Part 1 Year 2020
Pages: 28 -- 49
We propose an alternative skew-normal random matrix, which is an extension of the multivariate skew-normal vector parameterized in Vernic (A Stiint Univ Ovidius Constanta. 13, 83–96 2005, Insur. Math. Econ. 38, 413– 426 2006). We define the density function and then derive and apply the corresponding moment generating function to determine the mean matrix, covariance matrix, and third and fourth moments of the new skew-normal random matrix. Additionally, we derive eight marginal and two conditional density functions and provide necessary and sufficient conditions such that two pairs of sub-matrices are independent. Finally, we derive the moment generating function for a skew-normal random matrix-based quadratic form and show its relationship to the moment generating function of the noncentral Wishart and central Wishart random matrices.
Primary 62E15, Secondary 60E05.
Keywords and phrases: Moment generating function, Conditional distributions, Marginal distributions, Matrix quadratic form.