A new class of multivariate skew distributions with applications to bayesian regression models

@article{Sahu2003ANC,
  title={A new class of multivariate skew distributions with applications to bayesian regression models},
  author={Sujit Kumar Sahu and Dipak K. Dey and Marcia D'Elia Branco},
  journal={Canadian Journal of Statistics},
  year={2003},
  volume={31}
}
Abstract: The authors develop a new class of distributions by introducing skewness in multivariate elliptically symmetric distributions. The class, which is obtained by using transformation and conditioning, contains many standard families including the multivariate skew‐normal and t distributions. The authors obtain analytical forms of the densities and study distributional properties. They give practical applications in Bayesian regression models and results on the existence of the posterior… 

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