A unified view on skewed distributions arising from selections
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Date
2006
Journal Title
Journal ISSN
Volume Title
Publisher
WILEY
Abstract
Parametric families of multivariate nonnormal distributions have received considerable attention in the past few decades. The authors propose a new definition of a selection distribution that encompasses many existing families of multivariate skewed distributions. Their work is motivated by examples that involve various forms of selection mechanisms and lead to skewed distributions. They give the main properties of selection distributions and show how various families of multivariate skewed distributions, such as the skew-normal and skew-elliptical distributions, arise as special cases. The authors further introduce several methods of constructing selection distributions based on linear and nonlinear selection mechanisms.
Description
Keywords
kurtosis, multimodal distribution, multivariate distribution, nonnormal distribution, selection mechanism, skew-symmetric distribution, skewness, transformation, GENERAL-CLASS, INFERENCE, MODELS, BIAS