Box-Cox elliptical distributions with application

DOI10.1007/S00184-018-0682-ZMaRDI QIDQ2312027zbMATH OpenOpenAlexWikidataFDO

Authors Raúl Alejandro Morán-Vásquez, Silvia L. P. Ferrari

Publication date 4 July 2019

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.06083

zbMATH Keywords

Box-Cox symmetric distributionsBox-Cox transformationelliptical distributiontruncated distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: We propose and study the class of Box-Cox elliptical distributions. It provides alternative distributions for modeling multivariate positive, marginally skewed and possibly heavy-tailed data. This new class of distributions has as a special case the class of log-elliptical distributions, and reduces to the Box-Cox symmetric class of distributions in the univariate setting. The parameters are interpretable in terms of quantiles and relative dispersions of the marginal distributions and of associations between pairs of variables. The relation between the scale parameters and quantiles makes the Box-Cox elliptical distributions attractive for regression modeling purposes. Applications to data on vitamin intake are presented and discussed.

Review text

The authors introduce the class of truncated elliptical distributions for multivariate data, and use this to define another new class of distributions, the elliptical Box-Cox distributions, to model multivariate positive data which is marginally skewed and may have heavy tails. The parameters in this distribution represent the scale and skewness of each of the components of the data, and association between different components. In certain special cases, these Box-Cox elliptical distributions reduce to well-known log-elliptical distributions and to symmetric Box-Cox distributions. As well as the definition of this new class of distributions, the main results of the paper are properties of these distributions, including marginal and conditional densities, and moments. The authors also discuss generation of random samples and parameter estimation using maximum likelihood, and consider an application of their model to a certain data set.

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Cites work

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Cited in

(7)

• Estimation of a multivariate Box-Cox transformation to elliptical symmetry via the empirical characteristic function
• Box-Cox symmetric distributions and applications to nutritional data
• New results on truncated elliptical distributions
• Box-Cox \(t\) random intercept model for estimating usual nutrient intake distributions
• New insights on the multivariate skew exponential power distribution
• Modelling skewness and kurtosis with the BCPE density in GAMLSS
• Quantile modeling through multivariate log‐normal/independent linear regression models with application to newborn data

Describes a project that uses

Uses Software

• R
• GAMLSS

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