Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82467
Authors: 
Villani, Mattias
Larsson, Rolf
Year of Publication: 
2004
Series/Report no.: 
Sveriges Riksbank Working Paper Series 175
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.
Subjects: 
Bayesian inference
Elicitation
Estimation
Maximum likelihood
Multivariate analysis
Skewness
JEL: 
C11
C16
Document Type: 
Working Paper

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