On the Unification of Families of Skew‐normal Distributions

Abstract

Abstract. The distribution theory literature connected to the multivariate skew‐normal distribution has grown rapidly in recent years, and a number of extensions and alternative formulations have been put forward. Presently there are various coexisting proposals, similar but not identical, and with rather unclear connections. The aim of this paper is to unify these proposals under a new general formulation, clarifying at the same time their relationships. The final part sketches an extension of the argument to the skew‐elliptical family.