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Nonparametric Bayesian inferences on the skewed data using a Dirichlet process mixture model

Author

Listed:
  • Amin Ghalamfarsa Mostofi

    (Shiraz University)

  • Mahmood Kharrati-Kopaei

    (Shiraz University)

Abstract

This paper presents a new mixture model that can be regarded as a modified version of the Dirichlet process normal mixture models. In this model, the component distribution depends on a parameter whose value affects directly the skewness of the population distribution. Unlike the usual normal mixture model, one can impose prior information on the skewness parameter and make inferences. A nonparametric Bayesian approach is proposed to make inferences about the parameters of the model, including mean, variance, mode, and skewness parameters. An example is given to illustrate the use of the proposed mixture model in testing symmetry and fitting a distribution to data. We also compare our proposed method with two existing methods in terms of mean squared error and mean integrated squared error of the predictive density estimation.

Suggested Citation

  • Amin Ghalamfarsa Mostofi & Mahmood Kharrati-Kopaei, 2025. "Nonparametric Bayesian inferences on the skewed data using a Dirichlet process mixture model," Statistical Papers, Springer, vol. 66(1), pages 1-24, January.
    • Handle: RePEc:spr:stpapr:v:66:y:2025:i:1:d:10.1007_s00362-024-01658-7
    DOI: 10.1007/s00362-024-01658-7
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    References listed on IDEAS

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    1. A. Ghalamfarsa Mostofi & M. Kharrati-Kopaei, 2012. "Bayesian nonparametric inference for unimodal skew-symmetric distributions," Statistical Papers, Springer, vol. 53(4), pages 821-832, November.
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    6. Nadarajah, Saralees & Kotz, Samuel, 2003. "Skewed distributions generated by the normal kernel," Statistics & Probability Letters, Elsevier, vol. 65(3), pages 269-277, November.
    7. Tao Chen & Julian Morris & Elaine Martin, 2006. "Probability density estimation via an infinite Gaussian mixture model: application to statistical process monitoring," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 55(5), pages 699-715, November.
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