Objective Bayesian analysis for the multivariate skew-t model

@article{Parisi2018ObjectiveBA,
  title={Objective Bayesian analysis for the multivariate skew-t model},
  author={A Parisi and Brunero Liseo},
  journal={Statistical Methods \& Applications},
  year={2018},
  volume={27},
  pages={277-295}
}
We propose a novel Bayesian analysis of the p-variate skew-t model, providing a new parameterization, a set of non-informative priors and a sampler specifically designed to explore the posterior density of the model parameters. Extensions, such as the multivariate regression model with skewed errors and the stochastic frontiers model, are easily accommodated. A novelty introduced in the paper is given by the extension of the bivariate skew-normal model given in Liseo and Parisi (2013) to a more… 
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