An Identity for Expectations and Characteristic Function of Matrix Variate Skew-normalDistribution with Applications to Associated Stochastic Orderings

Tong Pu, Narayanaswamy Balakrishnan, Chuancun Yin

We establish an identity for E f (Y) -E f (X), when X and Y both have matrix variateskew-normal distributions and the function f fulfills some weak conditions. Thecharacteristic fu…