Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)
- 2004.11a
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- Pages.91-95
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- 2004
Quadratic forms of skew t distributions with an application to Spatial and Time series analysis
Abstract
Moments of skew t random vectors and their quadratic forms are derived. It is shown that the moments of the sample autocovariance function and of the sample variogram estimator do not depend on a skewness parameter.