The multivariate split normal distribution and asymmetric principal components analysis
2006 (Swedish)In: Communications in Statistics: Theory and MethodsArticle in journal (Refereed) Published
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.
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IdentifiersURN: urn:nbn:se:uu:diva-78173OAI: oai:DiVA.org:uu-78173DiVA: diva2:106086