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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).

Record type: 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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More information

Published date: 15 November 2005
Keywords: bayesian inference, gibbs sampler, kurtosis, skewness, skew elliptical distributions

Identifiers

Local EPrints ID: 18180
URI: http://eprints.soton.ac.uk/id/eprint/18180
PURE UUID: a9c83488-7043-4cd9-911c-065e55232ea9
ORCID for Sujit K. Sahu: ORCID iD orcid.org/0000-0003-2315-3598

Catalogue record

Date deposited: 16 Nov 2005
Last modified: 17 Jul 2017 16:36

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