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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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
ePrint ID: 18180
Date :
Date Event
15 November 2005Published
Date Deposited: 16 Nov 2005
Last Modified: 16 Apr 2017 23:12
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/18180

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