The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
AbstractThe 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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Bibliographic InfoPaper provided by Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number 175.
Length: 25 pages
Date of creation: 01 Dec 2004
Date of revision:
Publication status: Forthcoming in Communications in Statistics – Theory and Methods, 2006.
Bayesian inference; Elicitation; Estimation; Maximum likelihood; Multivariate analysis; Skewness;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
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