Multivariate Log-Skewed Distributions with normal kernel and their Applications (2005.00501v1)

Abstract: We introduce two classes of multivariate log skewed distributions with normal kernel: the log canonical fundamental skew-normal (log-CFUSN) and the log unified skew-normal (log-SUN). We also discuss some properties of the log-CFUSN family of distributions. These new classes of log-skewed distributions include the log-normal and multivariate log-skew normal families as particular cases. We discuss some issues related to Bayesian inference in the log-CFUSN family of distributions, mainly we focus on how to model the prior uncertainty about the skewing parameter. Based on the stochastic representation of the log-CFUSN family, we propose a data augmentation strategy for sampling from the posterior distributions. This proposed family is used to analyze the US national monthly precipitation data. We conclude that a high dimensional skewing function lead to a better model fit.