Box–Cox elliptical distributions with application

Raúl Alejandro Morán-Vásquez () and Silvia L. P. Ferrari ()
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Raúl Alejandro Morán-Vásquez: University of Antioquia
Silvia L. P. Ferrari: University of São Paulo

Metrika: International Journal for Theoretical and Applied Statistics, 2019, vol. 82, issue 5, No 2, 547-571

Abstract: Abstract We propose and study the class of Box–Cox elliptical distributions. It provides alternative distributions for modeling multivariate positive, marginally skewed and possibly heavy-tailed data. This new class of distributions has as a special case the class of log-elliptical distributions, and reduces to the Box–Cox symmetric class of distributions in the univariate setting. The parameters are interpretable in terms of quantiles and relative dispersions of the marginal distributions and of associations between pairs of variables. The relation between the scale parameters and quantiles makes the Box–Cox elliptical distributions attractive for regression modeling purposes. Applications to data on vitamin intake are presented and discussed.

Keywords: Box–Cox symmetric distributions; Box–Cox transformation; Elliptical distribution; Gibbs sampling; Truncated distribution (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s00184-018-0682-z

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