Multivariate log-skewed distributions with normal kernel and their applications

DOI10.1080/02331888.2015.1032972zbMATH Open1342.62084arXiv2005.00501OpenAlexW2023209089MaRDI QIDQ5739655FDOQ5739655

Rosangela H. Loschi, Marina M. de Queiroz, Roger W. C. Silva

Publication date: 19 July 2016

Published in: Statistics (Search for Journal in Brave)

Abstract: We introduce two classes of multivariate log skewed distributions with normal kernel: the log canonical fundamental skew-normal (log-CFUSN) and the log unified skew-normal (log-SUN). We also discuss some properties of the log-CFUSN family of distributions. These new classes of log-skewed distributions include the log-normal and multivariate log-skew normal families as particular cases. We discuss some issues related to Bayesian inference in the log-CFUSN family of distributions, mainly we focus on how to model the prior uncertainty about the skewing parameter. Based on the stochastic representation of the log-CFUSN family, we propose a data augmentation strategy for sampling from the posterior distributions. This proposed family is used to analyze the US national monthly precipitation data. We conclude that a high dimensional skewing function lead to a better model fit.

Full work available at URL: https://arxiv.org/abs/2005.00501

zbMATH Keywords

Bayesian inferencedata augmentationskewed distributions

Mathematics Subject Classification ID

Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

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Cited In (1)

• Shannon entropy and Kullback–Leibler divergence in multivariate log fundamental skew‐normal and related distributions

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