An Identity for Expectations and Characteristic Function of Matrix Variate Skew-normalDistribution with Applications to Associated Stochastic Orderings

03/09/2021
by   Tong Pu, et al.
0

We establish an identity for E f (Y) -E f (X), when X and Y both have matrix variateskew-normal distributions and the function f fulfills some weak conditions. Thecharacteristic function of matrix variate skew normal distribution is then derived. Finally,we make use of it to derive some necessary and sucient conditions for the comparisonof matrix variate skew-normal distributions under six di erent orders, such as usualstochastic order, convex order, increasing convex order, upper orthant order,directionally convex order and supermodular order.

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