Objective Bayesian analysis for the multivariate skew-t model

DOI10.1007/S10260-017-0404-0MaRDI QIDQ1663612zbMATHOpenAlexFDO

Authors Antonio Parisi, Brunero Liseo

Publication date 21 August 2018

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.01282

zbMATH Keywords

skewnessmultivariate skew-\(t\) modelmultivariate skew-normal modelobjective Bayes inferencepopulation Monte Carlo sampler

Mathematics Subject Classification ID

Bayesian inference (62F15) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12)

Abstract: We perform a Bayesian analysis of the p-variate skew-t model, providing a new parameterization, a set of non-informative priors and a sampler specifically designed to explore the posterior density of the model parameters. Extensions, such as the multivariate regression model with skewed errors and the stochastic frontiers model, are easily accommodated. A novelty introduced in the paper is given by the extension of the bivariate skew-normal model given in Liseo & Parisi (2013) to a more realistic p-variate skew-t model. We also introduce the R package mvst, which allows to estimate the multivariate skew-t model.

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Cited in

(12)

• Dynamic Bayesian analysis of generalized odds ratios assuming multivariate skew-normal distribution for the error terms in the system equation
• Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers
• Bayesian skew selection for multivariate models
• mvst
• Bayesian Estimation of Stochastic Frontier Models with Multivariate SkewtError Terms
• Objective Bayesian analysis of skew-\(t\) distributions
• On Bayesian Modeling of Fat Tails and Skewness
• Bayesian inference for the multivariate skew-normal model: a population Monte Carlo approach
• Bayesian analysis of skew-\(t\) multivariate null intercept measurement error model
• mvst
• Semiparametric Bayesian latent variable regression for skewed multivariate data
• Objective Bayesian modelling of insurance risks with the skewed Student-\(t\) distribution

Describes a project that uses

Uses Software

• R
• mnormt
• mvtnorm
• GSL
• Stata
• mixsmsn
• Rcpp
• Mcmcpack
• sn
• RcppGSL
• Emmixuskew
• skewnreg

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