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A new class of multivariate skew distributions with applications to Bayesian regression models

Sahu, S.K., Dey, D.K. and Branco, M.D. (2003) A new class of multivariate skew distributions with applications to Bayesian regression models Canadian Journal of Statistics, 31, (2), pp. 129-150. (doi:10.2307/3316064).

Record type: Article


This article develops a new class of distributions by introducing skewness in the multivariate elliptically symmetric distributions. The class is obtained by using transformation and conditioning. The class contains many standard families including the multivariate skew normal and t distributions. Analytical forms of the densities are obtained and distributional properties are studied. These developments are followed by practical examples in Bayesian regression models. Results on the existence of the posterior distributions and moments under improper priors for the regression coefficients are obtained. The methods are illustrated using practical examples.

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Published date: 2003
Keywords: Bayesian Inference, elliptical distributions, heavy tailed error distribution, gibbs sampler, markov chain Monte Carlo, Multivariate skewness
Organisations: Statistics


Local EPrints ID: 30176
ISSN: 0319-5724
PURE UUID: 8315475c-d47e-48e6-a8e1-42534b33cd11
ORCID for S.K. Sahu: ORCID iD

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Date deposited: 11 May 2006
Last modified: 17 Jul 2017 15:55

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