Shape mixtures of multivariate skew-normal distributions
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Date
2009
Journal Title
Journal ISSN
Volume Title
Publisher
ELSEVIER INC
Abstract
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. (C) 2008 Elsevier Inc. All rights reserved.
Description
Keywords
Bayes, Conjugacy, Shape parameter, Skewness, Skew-normal distribution, Regression model, Robustness