The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
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.
|Date of creation:||01 Dec 2004|
|Publication status:||Forthcoming in Communications in Statistics – Theory and Methods, 2006.|
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