Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties

The Generalized Inverse Gaussian (GIG) distribution has found many interesting applications; see Jørgensen  [24]. This rich family includes some well-known distributions, such as the inverse Gaussian, gamma and exponential, as special cases. These distributions have been used as the mixing density for building some heavy-tailed multivariate distributions including the normal inverse Gaussian, Student-t and Laplace distributions. In this paper, …