Economics at your fingertips  

Modelling Directional Dispersion Through Hyperspherical Log- Splines

Jose Ferreira () and Mark Steel ()

Econometrics from University Library of Munich, Germany

Abstract: We introduce the directionally dispersed class of multivariate distributions, a generalisation of the elliptical class. By allowing dispersion of multivariate random variables to vary with direction it is possible to generate a very wide and flexible class of distributions. Directionally dispersed distributions are shown to have a simple form for their density, which extends a spherically symmetric density function by including a function D modelling directional dispersion. Under a mild condition, the class of distributions is shown to preserve both unimodality and moment existence. By adequately defining D, it is possible to generate skewed distributions. Using spline models on hyperspheres, we suggest a very general, yet practical, implementation for modelling directional dispersion in any dimension. Finally, we use the new class of distributions in a Bayesian regression setup and analyse the distributions of a set of biomedical measurements and a sample of U.S. manufacturing firms.

Keywords: Bayesian regression model; directional dispersion; elliptical distributions; existence of moments; modality; skewed distributions. (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2004-10-18
Note: Type of Document - pdf; pages: 17
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
Journal Article: Modelling directional dispersion through hyperspherical log‐splines (2005) Downloads
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:

Access Statistics for this paper

More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().

Page updated 2019-12-06
Handle: RePEc:wpa:wuwpem:0410006