A new skew-elliptical distribution and its properties


Sahu, Sujit K. and Chai, High S. (2005) A new skew-elliptical distribution and its properties. Southampton, UK, Southampton Statistical Sciences Research Institute, 33pp. (S3RI Methodology Working Papers, (M05/19) ).

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Description/Abstract

This article generalizes a multivariate skew-elliptical distribution and describes its many interesting properties. The univariate version of the new distribution is compared with two other currently used distributions. The use of the new distribution is illustrated with a real data example suitable for regression modelling. The new model provides a better model fit than its two rivals as evaluated by some suitable Bayesian model selection criteria.

Item Type: Monograph (Working Paper)
Keywords: bayesian inference, gibbs sampler, kurtosis, skewness, skew elliptical distributions
Subjects: H Social Sciences > HA Statistics
Divisions: University Structure - Pre August 2011 > Southampton Statistical Sciences Research Institute
ePrint ID: 18180
Date Deposited: 16 Nov 2005
Last Modified: 27 Mar 2014 18:07
Publisher: Southampton Statistical Sciences Research Institute
URI: http://eprints.soton.ac.uk/id/eprint/18180

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