A general class of multivariate skew-elliptical distributions

This paper proposes a general class of multivariate skew-elliptical distrib utions. We extend earlier results on the so-called multivariate skew-normal distribution. This family of distributions contains the multivariate norma l, Student's t, exponential power, and Pearson type II, but with an extra p arameter to regulate skewness, We also obtain the moment generating functio ns and study some distributional properties. Several examples are provided. (C) 2001 Academic Press.