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Flexible univariate continuous distributions

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Quintana, Fernando A., Steel, Mark F. J. and Ferreira, Jose T. A. S.. (2009) Flexible univariate continuous distributions. Bayesian analysis, Vol.4 (No.3). pp. 497-522. ISSN 1931-6690

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Official URL: http://dx.doi.org/10.1214/09-BA418

Abstract

Based on a constructive representation, which distinguishes between a skewing mechanism P and an underlying symmetric distribution F, we introduce two flexible classes of distributions. They are generated by nonparametric modelling of either P or F. We examine properties of these distributions and consider how they can help us to identify which aspects of the data are badly captured by simple symmetric distributions. Within a Bayesian framework, we investigate useful prior settings and conduct inference through MCMC methods. On the basis of simulated and real data examples, we make recommendations for the use of our models in practice. Our models perform well in the context of density estimation using the multimodal galaxy data and for regression modelling with data on the body mass index of athletes.

Item Type:	Journal Article
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Distribution (Probability theory)
Journal or Publication Title:	Bayesian analysis
Publisher:	Int Soc Bayesian Analysis
ISSN:	1931-6690
Date:	2009
Volume:	Vol.4
Number:	No.3
Number of Pages:	26
Page Range:	pp. 497-522
Identification Number:	10.1214/09-BA418
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Open Access
Funder:	Fondo Nacional de Desarrollo Científico y Tecnológico (Chile) (FONDECYT)
Grant number:	1060729 (FONDECYT), 7060193 (FONDECYT)
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URI:	http://wrap.warwick.ac.uk/id/eprint/16602