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dc.contributor.authorArellano-Valle, Reinaldo B.
dc.contributor.authorFerreira, Clécio S.
dc.contributor.authorGenton, Marc G.
dc.date.accessioned2018-02-28T12:53:38Z
dc.date.available2018-02-28T12:53:38Z
dc.date.issued2018-02-26
dc.identifier.citationArellano-Valle RB, Ferreira CS, Genton MG (2018) Scale and shape mixtures of multivariate skew-normal distributions. Journal of Multivariate Analysis. Available: http://dx.doi.org/10.1016/j.jmva.2018.02.007.
dc.identifier.issn0047-259X
dc.identifier.doi10.1016/j.jmva.2018.02.007
dc.identifier.urihttp://hdl.handle.net/10754/627215
dc.description.abstractWe introduce a broad and flexible class of multivariate distributions obtained by both scale and shape mixtures of multivariate skew-normal distributions. We present the probabilistic properties of this family of distributions in detail and lay down the theoretical foundations for subsequent inference with this model. In particular, we study linear transformations, marginal distributions, selection representations, stochastic representations and hierarchical representations. We also describe an EM-type algorithm for maximum likelihood estimation of the parameters of the model and demonstrate its implementation on a wind dataset. Our family of multivariate distributions unifies and extends many existing models of the literature that can be seen as submodels of our proposal.
dc.description.sponsorshipThis research was supported by Fondecyt (Chile)1120121 and 1150325, and by the King Abdullah University of Science and Technology (KAUST) . We thank the Editor, Associate Editor and four anonymous reviewers for comments that improved the paper. We also thank Prof. Adelchi Azzalini for suggesting Proposition 1 during a seminar presentation of this work at the University of Padova and Prof. Mauricio Castro for some initial discussions on the topic of this paper.
dc.publisherElsevier BV
dc.relation.urlhttp://www.sciencedirect.com/science/article/pii/S0047259X17303937
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, 26 February 2018. DOI: 10.1016/j.jmva.2018.02.007. © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectEM-algorithm
dc.subjectScale mixtures of normal distributions
dc.subjectScale mixtures of skew-normal distributions
dc.subjectShape mixtures of skew-normal distributions
dc.subjectSkew-normal distribution
dc.subjectSkew scale mixtures of normal distributions
dc.titleScale and shape mixtures of multivariate skew-normal distributions
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 Statistics, Pontificia Universidad Católica de Chile, Santiago 22, Chile
dc.contributor.institutionDepartment of Statistics, Federal University of Juiz de Fora, Juiz de Fora 36036-900, Brazil
kaust.personGenton, Marc G.
refterms.dateFOA2020-02-26T00:00:00Z
dc.date.published-online2018-02-26
dc.date.published-print2018-07


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