Bayesian inference for the multivariate skew-normal model: A population Monte Carlo approach
Author
Abstract
Suggested Citation
DOI: 10.1016/j.csda.2013.02.007
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Jean-Marie Cornuet & Jean-Michel Marin & Antonietta Mira & Christian P. Robert, 2012. "Adaptive Multiple Importance Sampling," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 39(4), pages 798-812, December.
- Adelchi Azzalini, 2005. "The Skew‐normal Distribution and Related Multivariate Families," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(2), pages 159-188, June.
- Barry Arnold & Robert Beaver & A. Azzalini & N. Balakrishnan & A. Bhaumik & D. Dey & C. Cuadras & J. Sarabia & Barry Arnold & Robert Beaver, 2002. "Skewed multivariate models related to hidden truncation and/or selective reporting," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 11(1), pages 7-54, June.
- Cabral, Celso Rômulo Barbosa & Lachos, Víctor Hugo & Prates, Marcos O., 2012. "Multivariate mixture modeling using skew-normal independent distributions," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 126-142, January.
- repec:dau:papers:123456789/6072 is not listed on IDEAS
- Lin, Tsung I. & Ho, Hsiu J. & Chen, Chiang L., 2009. "Analysis of multivariate skew normal models with incomplete data," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2337-2351, November.
- Eling, Martin, 2012. "Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 239-248.
- Ferraz, V.R.S. & Moura, F.A.S., 2012. "Small area estimation using skew normal models," Computational Statistics & Data Analysis, Elsevier, vol. 56(10), pages 2864-2874.
- Panagiotelis, Anastasios & Smith, Michael, 2010. "Bayesian skew selection for multivariate models," Computational Statistics & Data Analysis, Elsevier, vol. 54(7), pages 1824-1839, July.
- Thomas Fung & Eugene Seneta, 2010. "Modelling and Estimation for Bivariate Financial Returns," International Statistical Review, International Statistical Institute, vol. 78(1), pages 117-133, April.
- Marcia D'Elia Branco & Marc G. Genton & Brunero Liseo, 2013. "Objective Bayesian Analysis of Skew-t Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(1), pages 63-85, March.
- Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2008. "The centred parametrization for the multivariate skew-normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 99(7), pages 1362-1382, August.
- repec:dau:papers:123456789/10690 is not listed on IDEAS
- repec:dau:papers:123456789/6215 is not listed on IDEAS
- Celeux, Gilles & Marin, Jean-Michel & Robert, Christian P., 2006. "Iterated importance sampling in missing data problems," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3386-3404, August.
- Adelchi Azzalini & Antonella Capitanio, 2003. "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t‐distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 367-389, May.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).
- Antonio Parisi & B. Liseo, 2018. "Objective Bayesian analysis for the multivariate skew-t model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(2), pages 277-295, June.
- Gaygysyz Guljanov & Willi Mutschler & Mark Trede, 2022.
"Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve,"
CQE Working Papers
10122, Center for Quantitative Economics (CQE), University of Muenster.
- Guljanov, Gaygysyz & Mutschler, Willi & Trede, Mark, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," Dynare Working Papers 78, CEPREMAP.
- Hok Shing Kwong & Saralees Nadarajah, 2022. "A New Robust Class of Skew Elliptical Distributions," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1669-1691, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Azzalini, Adelchi, 2022. "An overview on the progeny of the skew-normal family— A personal perspective," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
- Christophe Ley, 2014. "Flexible Modelling in Statistics: Past, present and Future," Working Papers ECARES ECARES 2014-42, ULB -- Universite Libre de Bruxelles.
- Ley, Christophe & Paindaveine, Davy, 2010.
"On the singularity of multivariate skew-symmetric models,"
Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1434-1444, July.
- Christophe Ley & Davy Paindaveine, 2009. "On the Singularity of Multivariate Skew-Symmetric Models," Working Papers ECARES 2009-017, ULB -- Universite Libre de Bruxelles.
- Olcay Arslan, 2015. "Variance-mean mixture of the multivariate skew normal distribution," Statistical Papers, Springer, vol. 56(2), pages 353-378, May.
- Kahrari, F. & Rezaei, M. & Yousefzadeh, F. & Arellano-Valle, R.B., 2016. "On the multivariate skew-normal-Cauchy distribution," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 80-88.
- Young, Phil D. & Kahle, David J. & Young, Dean M., 2017. "On the independence of singular multivariate skew-normal sub-vectors," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 58-62.
- Lee, Sharon X. & McLachlan, Geoffrey J., 2022. "An overview of skew distributions in model-based clustering," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
- Douadia Bougherara & Laurent Piet, 2018.
"On the role of probability weighting on WTP for crop insurance with and without yield skewness,"
Working Papers
hal-02790605, HAL.
- Douadia Bougherara & Laurent Piet, 2018. "On the role of probability weighting on WTP for crop insurance with and without yield skewness," Working Papers hal-01911611, HAL.
- Douadia, Bougherara & Laurent, Piet, 2018. "On the role of probability weighting on WTP for crop insurance with and without yield skewness," Working Papers SMART 18-08, INRAE UMR SMART.
- Douadia Bougherara & Laurent Piet, 2018. "On the role of probability weighting on WTP for crop insurance with and without yield skewness," CEE-M Working Papers hal-01947417, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Bougherara, Douadia & Piet, Laurent, 2018. "On the role of probability weighting on WTP for crop insurance with and without yield skewness," Working Papers 279351, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
- Douadia Bougherara & Laurent Piet, 2018. "On the role of probability weighting on WTP for crop insurance with and without yield skewness," Working Papers hal-01947417, HAL.
- Batiz-Zuk, Enrique & Christodoulakis, George & Poon, Ser-Huang, 2015. "Credit contagion in the presence of non-normal shocks," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 129-139.
- Phil D. Young & Joshua D. Patrick & John A. Ramey & Dean M. Young, 2020. "An Alternative Matrix Skew-Normal Random Matrix and Some Properties," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 82(1), pages 28-49, February.
- Zinoviy Landsman & Udi Makov & Tomer Shushi, 2017. "Extended Generalized Skew-Elliptical Distributions and their Moments," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 79(1), pages 76-100, February.
- Young, Phil D. & Harvill, Jane L. & Young, Dean M., 2016. "A derivation of the multivariate singular skew-normal density function," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 40-45.
- Tarpey, Thaddeus & Loperfido, Nicola, 2015. "Self-consistency and a generalized principal subspace theorem," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 27-37.
- Jamalizadeh, A. & Balakrishnan, N., 2009. "Prediction in a trivariate normal distribution via a linear combination of order statistics," Statistics & Probability Letters, Elsevier, vol. 79(21), pages 2289-2296, November.
- Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2013. "The centred parameterization and related quantities of the skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 73-90.
- Tsung-I Lin & Pal Wu & Geoffrey McLachlan & Sharon Lee, 2015. "A robust factor analysis model using the restricted skew- $$t$$ t distribution," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(3), pages 510-531, September.
- Jamalizadeh, A. & Mehrali, Y. & Balakrishnan, N., 2009. "Recurrence relations for bivariate t and extended skew-t distributions and an application to order statistics from bivariate t," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4018-4027, October.
- Thomas J. DiCiccio & Anna Clara Monti, 2018. "Testing for sub-models of the skew t-distribution," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(1), pages 25-44, March.
- M. C. Jones, 2015. "On Families of Distributions with Shape Parameters," International Statistical Review, International Statistical Institute, vol. 83(2), pages 175-192, August.
- Toshihiro Abe & Arthur Pewsey, 2011. "Sine-skewed circular distributions," Statistical Papers, Springer, vol. 52(3), pages 683-707, August.
More about this item
Keywords
Bayes factor; Matrix variate regression; Objective Bayes inference; Population Monte Carlo; Reference prior; Skewness;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:63:y:2013:i:c:p:125-138. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.