Matrix variate skew elliptically contoured distributions generalize several classes of important distributions. This paper defines and explores matrix variate skew elliptically contoured distributions. In particular, we discuss the first two moments of the matrix variate skew elliptically contoured distributions.
Zheng, Shimin; Knisley, Jeff; and Zhang, Chunming. 2013. Moments of Matrix Variate Skew Elliptically Contoured Distributions. Advances and Applications in Statistics. Vol.36(1). 13-27. http://www.pphmj.com/abstract/7903.htm ISSN: 0972-3617