Yet another skew-elliptical family but of a different kind: return to Lemma 1

TL;DR

This paper introduces a new skew-elliptical family of distributions using a novel modulation factor that is not an odd function, based on a reinterpretation of Lemma 1 from Azzalini and Capitanio (1999).

Contribution

It presents a new skew-elliptical distribution family derived from a different application of the foundational Lemma 1, expanding the diversity of skew-elliptical models.

Findings

New skew-elliptical family with non-odd modulation function

Demonstrates the versatility of Lemma 1 in generating novel distributions

Broadens the theoretical framework for skew-elliptical distributions

Abstract

In the context of modulated-symmetry distributions, there exist various forms of skew-elliptical families. We present yet another one, but with an unusual feature: the modulation factor of the baseline elliptical density is represented by a distribution function with an argument which is not an odd function, as it occurs instead with the overwhelming majority of similar formulations, not only with other skew-elliptical families. The proposal is obtained by going back to the use of Lemma~1 of Azzalini and Capitanio (1999), which can be seen as the general frame for a vast number of existing formulations, and use it on a different route. The broader target is to show that this `mother lemma' can still generate novel progeny.