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Modeling and Inference with υ-Spherical Distributions

 

作者: Carmen Fernández,   Jacek Osiewalski,   MarkF. J. Steel,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1995)
卷期: Volume 90, issue 432  

页码: 1331-1340

 

ISSN:0162-1459

 

年代: 1995

 

DOI:10.1080/01621459.1995.10476637

 

出版商: Taylor & Francis Group

 

关键词: Bayesian inference;Continuous multivariate distributions;Exponential power distributions;Inference robustness;Location-scale models;Skewness;Spherical distributions

 

数据来源: Taylor

 

摘要:

A new class of continuous multivariate distributions on × ∈ ℜnis proposed. We define these so-called υ-spherical distributions through properties of the density function in a location-scale context. We derive conditions for properness of υ-spherical distributions and discuss how to generate them in practice. The name “υ-spherical” is motivated by the fact that these distributions generalize the classes of spherical (when υ(·) is thel2norm) andlq-spherical (when υ(·) is thelqnorm) distributions. Isodensity sets are still always situated around the location parameter μ, but exchangeability and axial symmetry are no longer imposed, as is illustrated in some examples. As an important special case, we define a class of distributions suggested by independent sampling from a generalization of exponential power distributions. This allows us to model skewness. Interestingly, all the robustness results found previously for spherical andlq-spherical models carry over directly to υ-spherical models. In particular, it is shown that under a common improper prior on the scale parameter τ−1, any υ-spherical distribution with the same isodensity sets will lead to the same densityp(x, μ). Under proper priors on τ, we can still find some robustness results, although of lesser generality.

 

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