The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis

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The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis

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Villani, Mattias () (Research Department, Central Bank of Sweden)
Larsson, Rolf () (Department of Information Science, Uppsala University)

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Mattias Villani

Abstract

The multivariate split nomal distribution extends the usual multivariate normal distribution by a set of parameters which allows for skewness in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some properties for this distribution, including its moment generating function, multivariate skewness and kurtosis. Maximum likelihood estimation is discussed and a complete Bayesian analysis of the multivariate split normal distribution is developed.

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Publisher Info
Paper provided by Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number 175.

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Length: 25 pages
Date of creation: 01 Dec 2004
Date of revision:
Publication status: Forthcoming in Communications in Statistics – Theory and Methods, 2006.
Handle: RePEc:hhs:rbnkwp:0175

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Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
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Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-01-02 (All new papers)
NEP-ECM-2005-01-02 (Econometrics)
NEP-FIN-2005-01-02 (Finance)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November. [Downloadable!] (restricted)
Luc Bauwens & Winfried Pohlmeier & David Veredas, 2006. "Editor’s introduction," Empirical Economics, Springer, vol. 30(4), pages 791-794, January. [Downloadable!] (restricted)
Bauwens, Luc & Polasek, Wolfgang & van Dijk, Herman K., 1996. "Editor's introduction," Journal of Econometrics, Elsevier, vol. 75(1), pages 1-5, November. [Downloadable!] (restricted)

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