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The multivariate split normal distribution and asymmetric principal components analysis
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science. Statistik.
2006 (Swedish)In: Communications in Statistics: Theory and MethodsArticle in journal (Refereed) Published
Abstract [en]

The multivariate split normal 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 principal axes. This 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 model is developed.

Keywords: Bayesian inference, Elicitation, Estimation, Maximum likelihood, Multivariate analysis, Skewness.

Place, publisher, year, edition, pages
2006.
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URN: urn:nbn:se:uu:diva-78173OAI: oai:DiVA.org:uu-78173DiVA: diva2:106086
Available from: 2006-03-20 Created: 2006-03-20 Last updated: 2011-01-11

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Larsson, Rolf

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