Change Point Detection in The Skew-Normal Model Parameters |
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Authors: | Reinaldo B Arellano-Valle Luis M Castro |
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Institution: | 1. Departamento de Estadística , Pontificia Universidad Católica de Chile , Santiago , Chile;2. Departamento de Estadística , Universidad de Concepción , Concepción , Chile |
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Abstract: | Bayesian inference under the skew-normal family of distributions is discussed using an arbitrary proper prior for the skewness parameter. In particular, we review some results when a skew-normal prior distribution is considered. Considering this particular prior, we provide a stochastic representation of the posterior of the skewness parameter. Moreover, we obtain analytical expressions for the posterior mean and variance of the skewness parameter. The ultimate goal is to consider these results to one change point identification in the parameters of the location-scale skew-normal model. Some Latin American emerging market datasets are used to illustrate the methodology developed in this work. |
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Keywords: | Change point detection Posterior distribution Shape parameter Skew-normal distribution Stochastic representation |
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