Arbeitspapier
The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
The multivariate split nomal 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 prinicpal axis. The 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 distribution is developed.
- Language
-
Englisch
- Bibliographic citation
-
Series: Sveriges Riksbank Working Paper Series ; No. 175
- Classification
-
Wirtschaft
Bayesian Analysis: General
- Subject
-
Bayesian inference
Elicitation
Estimation
Maximum likelihood
Multivariate analysis
Skewness
- Event
-
Geistige Schöpfung
- (who)
-
Villani, Mattias
Larsson, Rolf
- Event
-
Veröffentlichung
- (who)
-
Sveriges Riksbank
- (where)
-
Stockholm
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Villani, Mattias
- Larsson, Rolf
- Sveriges Riksbank
Time of origin
- 2004
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