A new class of multivariate skew distributions with applications to Bayesian regression models
A new class of multivariate skew distributions with applications to Bayesian regression models
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.
Bayesian Inference, elliptical distributions, heavy tailed error distribution, gibbs sampler, markov chain Monte Carlo, Multivariate skewness
129-150
Sahu, S.K.
33f1386d-6d73-4b60-a796-d626721f72bf
Dey, D.K.
bd7eaa2e-9bfd-44d0-beb7-2f27f9277b90
Branco, M.D.
5241ddbc-d7ec-4dcd-a8ba-884ff6a15122
2003
Sahu, S.K.
33f1386d-6d73-4b60-a796-d626721f72bf
Dey, D.K.
bd7eaa2e-9bfd-44d0-beb7-2f27f9277b90
Branco, M.D.
5241ddbc-d7ec-4dcd-a8ba-884ff6a15122
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), .
(doi:10.2307/3316064).
Abstract
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
Identifiers
Local EPrints ID: 30176
URI: http://eprints.soton.ac.uk/id/eprint/30176
ISSN: 0319-5724
PURE UUID: 8315475c-d47e-48e6-a8e1-42534b33cd11
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Date deposited: 11 May 2006
Last modified: 16 Mar 2024 03:15
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Author:
D.K. Dey
Author:
M.D. Branco
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