Correction to: Stat. Pap. (2023) https://doi.org/10.1007/s00362-021-01235-2

In the original publication of the article, the following amendments are required: (i) in equation (8), \(\Gamma _{-j}\) shoud be \(\gamma _{-j}\); (ii) the description of \(\gamma _{-j}\) in the paragraph leading to equation (7) must be changed to “\(\gamma _{-j}\) denotes the j-th column of \(\Gamma \) with the j-th row element removed”.

With these amendments, the text essentially reproduces the corresponding wording of Azzalini and Bacchieri (2010), except for minor differences in the notation. That wording was actually our original intention, but regrettably the final version diverged. We are grateful to Mert Ketenci of Columbia University for drawing our attention to the incongruences in the text.