Shape mixtures of multivariate skew-normal distributions

Classes of shape mixtures of independent and dependent multivariate skew-normal distributions are considered and some of their main properties are studied. If interpreted from a Bayesian point of view, the results obtained in this paper bring tractability to the problem of inference for the shape parameter, that is, the posterior distribution can be written in analytic form. Robust inference for location and scale parameters is also obtained under particular conditions.

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Year of publication:	2009
Authors:	Arellano-Valle, Reinaldo B. ; Genton, Marc G. ; Loschi, Rosangela H.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 100.2009, 1, p. 91-101
Publisher:	Elsevier
Keywords:	62H05 62E15 Bayes Conjugacy Shape parameter Skewness Skew-normal distribution Regression model Robustness

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005093739