Sample mean, covariance and T2 statistic of the skew elliptical model

In this paper basic statistics for a skew elliptical model are studied. Distributions of the sample mean and covariance are obtained. An unbiased estimate of the scale matrix and an asymptotically unbiased consistent estimate of the location vector are obtained. The null distribution of the Hotelling's T-2 statistic for testing hypothesis about the location is the same as that under normality under a restriction on the skewness parameters and the power function is showed to have some desired property in a wide subset of the skew elliptical distributions. (c) 2005 Elsevier Inc. All rights reserved.