Scale mixtures distributions in statistical modelling
- Blackwell Publishing Ltd
- Publication Type:
- Journal Article
- Australian & New Zealand Journal of Statistics, 2008, 50 (2), pp. 135 - 146
- Issue Date:
This paper presents two types of symmetric scale mixture probability distributions which include the normal, Student t, Pearson Type VII, variance gamma, exponential power, uniform power and generalised t (GT) distributions. Expressing a symmetric distirbution into a scale mixture for enables efficient Bayersian Markov chain Monte Carlo (MCMC) algorithms in the implementation of complicated statistical models. Moreover, the mixing parameters, a by-product of the scale mixtures representation, can be used to identify possible outliers. this paper also proposes a uniform scale mixture representation for the GT density and demonstrates how this density representation alleviates the computational burden of the Gibbs sampler.
Please use this identifier to cite or link to this item: