A new skew-elliptical distribution and its properties
A new skew-elliptical distribution and its properties
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.
bayesian inference, gibbs sampler, kurtosis, skewness, skew elliptical distributions
Southampton Statistical Sciences Research Institute, University of Southampton
Sahu, Sujit K.
33f1386d-6d73-4b60-a796-d626721f72bf
Chai, High S.
6dda63ba-d7bf-4475-97d4-725e5254db4b
15 November 2005
Sahu, Sujit K.
33f1386d-6d73-4b60-a796-d626721f72bf
Chai, High S.
6dda63ba-d7bf-4475-97d4-725e5254db4b
Sahu, Sujit K. and Chai, High S.
(2005)
A new skew-elliptical distribution and its properties
(S3RI Methodology Working Papers, M05/19)
Southampton, UK.
Southampton Statistical Sciences Research Institute, University of Southampton
33pp.
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Monograph
(Working Paper)
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.
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Published date: 15 November 2005
Keywords:
bayesian inference, gibbs sampler, kurtosis, skewness, skew elliptical distributions
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Local EPrints ID: 18180
URI: http://eprints.soton.ac.uk/id/eprint/18180
PURE UUID: a9c83488-7043-4cd9-911c-065e55232ea9
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Date deposited: 16 Nov 2005
Last modified: 16 Mar 2024 03:15
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Author:
High S. Chai
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