A Survey on Continuous Elliptical Vector Distributions
Departamento de Estadística e Investigación Operativa I Universidad Complutense de Madrid 28040 Madrid — Spain | ESCET, Universidad Rey Juan Carlos 28933 Móstoles (Madrid) — Spain |
In this paper it is taken up a revision and characterization of the class of absolutely continuous elliptical distributions upon a parameterization based on the density function. Their properties (probabilistic characteristics, affine transformations, marginal and conditional distributions and regression) are shown in a practical and easy to interpret way. Two examples are fully undertaken: the multivariate double exponential distribution and the multivariate uniform distribution.
Key words: elliptical distribution, ellipticaly contoured distribution, stochastic
representation,conditional and marginal distributions, regression.
2000 Mathematics Subject Classification: 60E05, 62H05.