Bayesian sensitivity analysis and model comparison for skew elliptical models
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Date
2006
Journal Title
Journal ISSN
Volume Title
Publisher
ELSEVIER SCIENCE BV
Abstract
In this work we approach the problem of model comparison between skew families. For the univariate skew model, we measure the sensitivity of the skewness parameter using the L-1 distance between symmetric and asymmetric models and we obtain explicit expressions for some of these models. The main result is that the L-1 distance between a representable elliptical distribution and a representable skew elliptical distribution remains invariant and it equals to the L-1 distance between the normal and skew-normal densities. We also use the Bayes factor to test asymmetry and present some simulation results for the skew-normal and skew-t distributions obtaining expected results for adequate prior distribution. An application in stock markets is also considered. (c) 2005 Elsevier B.V. All rights reserved.
Description
Keywords
skew distribution, skew-normal distribution, representable skew elliptical distribution, Bayes factor, L-1 distance, DISTRIBUTIONS