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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Sveriges Riksbank Working Paper Series ; No. 175
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
- Thema
-
Bayesian inference
Elicitation
Estimation
Maximum likelihood
Multivariate analysis
Skewness
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Villani, Mattias
Larsson, Rolf
- Ereignis
-
Veröffentlichung
- (wer)
-
Sveriges Riksbank
- (wo)
-
Stockholm
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Villani, Mattias
- Larsson, Rolf
- Sveriges Riksbank
Entstanden
- 2004
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