Autori
Liseo, Brunero
Parisi, Antonio

Titolo
Objective Bayesian analysis for the multivariate skew-t model
Periodico
Statistical methods & applications : Journal of the Italian Statistical Society
Anno: 2018 - Volume: 27 - Fascicolo: 2 - Pagina iniziale: 277 - Pagina finale: 295

We propose a novel Bayesian analysis of the p-variate skew-t model, providing a new parameterization, a set of non-informative priors and a sampler specifically designed to explore the posterior density of the model parameters. Extensions, such as the multivariate regression model with skewed errors and the stochastic frontiers model, are easily accommodated. A novelty introduced in the paper is given by the extension of the bivariate skew-normal model given in Liseo and Parisi (2013) to a more realistic p-variate skew-t model. We also introduce the R package mvst, which produces a posterior sample for the parameters of a multivariate skew-t model.



SICI: 1618-2510(2018)27:2<277:OBAFTM>2.0.ZU;2-O

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