Linear mixed models with skew-elliptical distributions: A Bayesian approach

Normality of random effects and error terms is a routine assumption for linear mixed models. However, such an assumption may be unrealistic, obscuring important features of within- and among-unit variation. A simple and robust Bayesian parametric approach that relaxes this assumption by using a multivariate skew-elliptical distribution, which includes the Skew-t, Skew-normal, t-Student, and Normal distributions as special cases and provides flexibility in capturing a broad range of non-normal and asymmetric behavior is presented. An appropriate posterior simulation scheme is developed and the methods are illustrated with an application to a longitudinal data example.