The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis

DOI10.1080/03610920600672252MaRDI QIDQ5484691zbMATH OpenOpenAlexFDO

Authors Mattias Villani, Rolf Larsson

Publication date 21 August 2006

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL http://www.riksbank.com/upload/WorkingPapers/WP_175.pdf

zbMATH Keywords

maximum likelihoodmultivariate analysisskewness

Mathematics Subject Classification ID

Bayesian inference (62F15) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25)

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Cites work

• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• scientific article; zbMATH DE number 840151 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Measures of multivariate skewness and kurtosis with applications
• Methods for the two-piece normal distribution
• Normal Multivariate Analysis and the Orthogonal Group
• On Bayesian Modeling of Fat Tails and Skewness
• Orientation statistics
• Parameterization and Bayesian Modeling
• Priors for unit root models
• The epsilon-skew-normal distribution for analyzing near-normal data
• The Geometry of Algorithms with Orthogonality Constraints
• The multivariate skew-normal distribution
• Using simulation methods for bayesian econometric models: inference, development,and communication

Cited in

(5)

• An overview of skew distributions in model-based clustering
• Principal component analysis in an asymmetric norm
• Flexible asymmetric multivariate distributions based on two-piece univariate distributions
• Marginal distributions of random vectors generated by affine transformations of independent two-piece normal variables
• Laplace approximation for logistic Gaussian process density estimation and regression

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