The multivariate alpha-power model |
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| Authors: | Guillermo Martínez-Flórez Barry C Arnold Heleno Bolfarine Héctor W Gómez |
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| Institution: | 1. Departamento de Matemáticas y Estadística, Facultad de Ciencias, Universidad de Córdoba, Córdoba, Colombia;2. Statistics Department, University of California Riverside, USA;3. Departamento de Estatística, IME, Universidade São Paulo, São Paulo, Brazil;4. Departamento de Matemáticas, Facultad de Ciencias Básicas, Universidad de Antofagasta, Antofagasta, Chile |
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| Abstract: | The main object of this paper is to propose a multivariate extension to the alpha-power model which is an alternative to the multivariate skew-normal model (Arellano-Valle and Azzalini, 2008). It also extends the power-normal model discussed in Gupta and Gupta (2008) by making it more flexible. Inference is dealt with by using the likelihood approach and a pseudo-likelihood approach based on conditional distributions which, although slightly less efficient, is simpler to implement. An application to a real data set is used to demonstrate the usefulness of the extension. |
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| Keywords: | Likelihood Multivariate alpha-power asymmetric distribution Pseudo-likelihood |
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