The multivariate split normal distribution and asymmetric principal components analysis

• 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.

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)