The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
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References listed on IDEAS
- Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-1339, November.
- Kadane, Joseph B. & Chan, Ngai Hang & Wolfson, Lara J., 1996. "Priors for unit root models," Journal of Econometrics, Elsevier, vol. 75(1), pages 99-111, November.
- Luc Bauwens & Winfried Pohlmeier & David Veredas, 2006. "Editor’s introduction," Empirical Economics, Springer, vol. 30(4), pages 791-794, January.
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- Maximiano Pinheiro & Paulo Esteves, 2012.
"On the uncertainty and risks of macroeconomic forecasts: combining judgements with sample and model information,"
Springer, vol. 42(3), pages 639-665, June.
- Maximiano Pinheiro & Paulo Soares Esteves, 2008. "On the uncertainty and risks of macroeconomic forecasts: Combining judgements with sample and model information," Working Papers w200821, Banco de Portugal, Economics and Research Department.
- Maximiano Pinheiro, 2010. "Marginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables," Working Papers w201013, Banco de Portugal, Economics and Research Department.
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KeywordsBayesian inference; Elicitation; Estimation; Maximum likelihood; Multivariate analysis; Skewness;
- 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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