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dc.contributor.authorKim, Hyoung-Moon
dc.contributor.authorMaadooliat, Mehdi
dc.contributor.authorArellano-Valle, Reinaldo B.
dc.contributor.authorGenton, Marc G.
dc.date.accessioned2015-12-27T13:34:31Z
dc.date.available2015-12-27T13:34:31Z
dc.date.issued2015-12-21
dc.identifier.citationSkewed factor models using selection mechanisms 2015 Journal of Multivariate Analysis
dc.identifier.issn0047259X
dc.identifier.doi10.1016/j.jmva.2015.12.007
dc.identifier.urihttp://hdl.handle.net/10754/592614
dc.description.abstractTraditional factor models explicitly or implicitly assume that the factors follow a multivariate normal distribution; that is, only moments up to order two are involved. However, it may happen in real data problems that the first two moments cannot explain the factors. Based on this motivation, here we devise three new skewed factor models, the skew-normal, the skew-tt, and the generalized skew-normal factor models depending on a selection mechanism on the factors. The ECME algorithms are adopted to estimate related parameters for statistical inference. Monte Carlo simulations validate our new models and we demonstrate the need for skewed factor models using the classic open/closed book exam scores dataset.
dc.language.isoen
dc.publisherElsevier BV
dc.relation.urlhttp://linkinghub.elsevier.com/retrieve/pii/S0047259X15003334
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in Journal of Multivariate Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Multivariate Analysis, 21 December 2015. DOI: 10.1016/j.jmva.2015.12.007
dc.subjectMixing
dc.subjectSelection
dc.subjectSkew-normal
dc.subjectSkew-tt
dc.subjectSUN distribution
dc.titleSkewed factor models using selection mechanisms
dc.typeArticle
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.contributor.departmentStatistics Program
dc.identifier.journalJournal of Multivariate Analysis
dc.eprint.versionPost-print
dc.contributor.institutionDepartment of Applied Statistics, Konkuk University, Seoul, Republic of Korea
dc.contributor.institutionDepartment of Mathematics, Statistics and Computer Science, Marquette University, Milwaukee, WI, USA
dc.contributor.institutionDepartamento de Estadistica, Pontificia Universidad Católica de Chile, Santiago, Chile
dc.contributor.affiliationKing Abdullah University of Science and Technology (KAUST)
kaust.personGenton, Marc G.
refterms.dateFOA2017-12-21T00:00:00Z
dc.date.published-online2015-12-21
dc.date.published-print2016-03


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