A class of weighted multivariate normal distributions and its properties

Hea-Jung Kim

Journal of Multivariate Analysis, 2008, vol. 99, issue 8, 1758-1771

Abstract: This article proposes a class of weighted multivariate normal distributions whose probability density function has the form of a product of a multivariate normal density and a weighting function. The class is obtained from marginal distributions of various doubly truncated multivariate normal distributions. The class strictly includes the multivariate normal and multivariate skew-normal. It is useful for selection modeling and inequality constrained normal mean vector analysis. We report on a study of some distributional properties and the Bayesian perspective of the class. A probabilistic representation of the distributions is also given. The representation is shown to be straightforward to specify the distribution and to implement computation, with output readily adapted for the required analysis. Necessary theories and illustrative examples are provided.

Keywords: 62E10; 62F30; Weighted; multivariate; normal; distribution; Doubly; truncated; normal; Selection; model; Constrained; normal; mean; vector; Probabilistic; representation (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (5)

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