Bayesian sensitivity analysis and model comparison for skew elliptical models

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dc.contributor.authorVidal, I.
dc.contributor.authorIglesias, P.
dc.contributor.authorBranco, M. D.
dc.contributor.authorArellano Valle, R. B.
dc.date.accessioned2024-01-10T13:46:21Z
dc.date.available2024-01-10T13:46:21Z
dc.date.issued2006
dc.description.abstractIn 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.
dc.fechaingreso.objetodigital01-04-2024
dc.format.extent23 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1016/j.jspi.2004.12.015
dc.identifier.issn0378-3758
dc.identifier.urihttps://doi.org/10.1016/j.jspi.2004.12.015
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/79151
dc.identifier.wosidWOS:000238893600006
dc.information.autorucMatemática;Arellano R;S/I;58107
dc.issue.numero10
dc.language.isoen
dc.nota.accesocontenido parcial
dc.pagina.final3457
dc.pagina.inicio3435
dc.publisherELSEVIER SCIENCE BV
dc.revistaJOURNAL OF STATISTICAL PLANNING AND INFERENCE
dc.rightsacceso restringido
dc.subjectskew distribution
dc.subjectskew-normal distribution
dc.subjectrepresentable skew elliptical distribution
dc.subjectBayes factor
dc.subjectL-1 distance
dc.subjectDISTRIBUTIONS
dc.subject.ods03 Good Health and Well-being
dc.subject.odspa03 Salud y bienestar
dc.titleBayesian sensitivity analysis and model comparison for skew elliptical models
dc.typeartículo
dc.volumen136
sipa.codpersvinculados58107
sipa.indexWOS
sipa.indexScopus
sipa.trazabilidadCarga SIPA;09-01-2024
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