Scandinavian Working Papers in Economics

Working Paper Series,
Sveriges Riksbank (Central Bank of Sweden)

No 175: The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis

Mattias Villani () and Rolf Larsson
Additional contact information
Mattias Villani: Research Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
Rolf Larsson: Department of Information Science, Uppsala University, Postal: Box 513, SE-751 20 Uppsala, Sweden

Abstract: 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.

Keywords: Bayesian inference; Elicitation; Estimation; Maximum likelihood; Multivariate analysis; Skewness

JEL-codes: C11; C16

25 pages, December 1, 2004

Full text files 

WP_175.pdf PostScript file

Download statistics

Fortchoming as
Mattias Villani and Rolf Larsson, 'The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis', Communications in Statistics – Theory and Methods

Questions (including download problems) about the papers in this series should be directed to Lena Löfgren ()
Report other problems with accessing this service to Sune Karlsson ().

RePEc:hhs:rbnkwp:0175This page generated on 2024-09-13 22:16:57.