Multivariate log-skewed distributions with normal kernel and their applications

DOI10.1080/02331888.2015.1032972MaRDI QIDQ5739655zbMATH OpenOpenAlexFDO

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

Publication date 19 July 2016

Published in Statistics (Search for Journal in Brave)

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)

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.

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Cited in

(2)

• Shannon entropy and Kullback-Leibler divergence in multivariate log fundamental skew-normal and related distributions
• Inference in log-alpha-power and log-skew-normal multivariate models

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