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Multivariate exponential power distributions as mixtures of normal distributions with Bayesian applications

Gómez Villegas, Miguel Ángel and Gómez Sánchez-Manzano, Eusebio and Marín Diazaraque, Juan Miguel (2008) Multivariate exponential power distributions as mixtures of normal distributions with Bayesian applications. Communications in statistics. Theory and methods, 37 (6). pp. 972-985. ISSN 0361-0926

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Abstract

It is shown that a multivariate exponential power distribution is a scale mixture of normal distributions, with respect to a probability distribution function, when its kurtosis parameter belongs to the interval (0,1]. The corresponding mixing probability distribution function is presented. This result is used to design a Bayesian hierarchical model and an algorithm to generate samples of the posterior distribution; these are applied to a problem of Quantitative Genetics.


Item Type:Article
Uncontrolled Keywords:Elliptically contoured distribution, Elliptical distribution, Multivariate exponential power distribution, Scale mixture of normal distributions, Stable distribution, Hierarchical Bayesian model, Montecarlo methods
Subjects:Sciences > Mathematics > Mathematical statistics
ID Code:11147
Deposited On:10 Sep 2010 08:38
Last Modified:06 Feb 2014 08:57

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