Shape mixtures of multivariate skew-normal distributions

Reinaldo B. Arellano-Valle, Marc G. Genton and Rosangela H. Loschi

Journal of Multivariate Analysis, 2009, vol. 100, issue 1, 91-101

Abstract: Classes of shape mixtures of independent and dependent multivariate skew-normal distributions are considered and some of their main properties are studied. If interpreted from a Bayesian point of view, the results obtained in this paper bring tractability to the problem of inference for the shape parameter, that is, the posterior distribution can be written in analytic form. Robust inference for location and scale parameters is also obtained under particular conditions.

Keywords: 62H05; 62E15; Bayes; Conjugacy; Shape; parameter; Skewness; Skew-normal; distribution; Regression; model; Robustness (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (8)

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