The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis

Mattias Villani and Rolf Larsson
Additional contact information
Rolf Larsson: Department of Information Science, Uppsala University, Postal: Box 513, SE-751 20 Uppsala, Sweden

No 175, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: The multivariate split nomal distribution extends the usual multivariate normal distribution by a set of parameters which allows for skewness in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some properties for this distribution, including its moment generating function, multivariate skewness and kurtosis. Maximum likelihood estimation is discussed and a complete Bayesian analysis of the multivariate split normal distribution is developed.

Keywords: Bayesian inference; Elicitation; Estimation; Maximum likelihood; Multivariate analysis; Skewness (search for similar items in EconPapers)
JEL-codes: C11 C16 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2004-12-01
New Economics Papers: this item is included in nep-ecm and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Forthcoming in Communications in Statistics – Theory and Methods, 2006.

Downloads: (external link)
http://www.riksbank.com/upload/WorkingPapers/WP_175.pdf (application/postscript)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0175

Access Statistics for this paper

More papers in Working Paper Series from Sveriges Riksbank (Central Bank of Sweden) Sveriges Riksbank, SE-103 37 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Lena Löfgren ().