In this note, we establish an equivalence between chi-square and generalized skew-normal distributions. This result is based on a distributional invariance property of even functions in generalized skew-normal random vectors. It extends the chi-square properties related to univariate and multivariate skew-normal distributions.
- Chi-square distribution
- Generalized skew-normal distribution
ASJC Scopus subject areas
- Economics and Econometrics