Scale and shape mixtures of multivariate skew-normal distributions

作者：Arellano Valle Reinaldo B; Ferreira Clecio S; Genton Marc G^*

来源：Journal of Multivariate Analysis, 2018, 166: 98-110.

DOI：10.1016/j.jmva.2018.02.007

• EM-algorithm
• Scale mixtures of normal distributions
• Scale mixtures of skew-normal distributions
• Shape mixtures of skew-normal distributions
• Skew-normal distribution
• Skew scale mixtures of normal distributions

We 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-typeal gorithm 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.

• 出版日期2018-7