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On a Generalization of Bivariate Cauchy Distribution

Details

Publisher
Taylor & Francis
Copyright
© 2008 Informa plc
Subject
Bivariate Cauchy distribution
ISSN
0361-0926
D.O.I.
10.1080/03610920701469160
Publisher site
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On a Generalization of Bivariate Cauchy Distribution

Abstract

This paper addresses a generalization of the bivariate Cauchy distribution discussed by Fang et al. (1990), derived from a trivariate normal distribution with a general correlation matrix. We obtain explicit expressions for the joint distribution function and joint density function, and show that they reduce in a special case to the corresponding expressions of Fang et al. (1990). Finally, we show that this generalized distribution is useful in determining the orthant probability of a bivariate skew-normal distribution of Azzalini and Dalla Valle (1996).
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