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Bayesian Inference for Skew-Symmetric Distributions

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Skew-symmetric distributions are a popular family of flexible distributions that conveniently model non-normal features such as skewness, kurtosis and multimodality. Unfortunately, their frequentist inference poses several difficulties, which may be adequately addressed by means of a Bayesian approach. This paper reviews the main prior distributions proposed for the parameters of skew-symmetric distributions, with special emphasis on the skew-normal and the skew-t distributions which are the most prominent skew-symmetric models. The paper focuses on the univariate case in the absence of covariates, but more general models are also discussed.
Title: Bayesian Inference for Skew-Symmetric Distributions
Description:
Skew-symmetric distributions are a popular family of flexible distributions that conveniently model non-normal features such as skewness, kurtosis and multimodality.
Unfortunately, their frequentist inference poses several difficulties, which may be adequately addressed by means of a Bayesian approach.
This paper reviews the main prior distributions proposed for the parameters of skew-symmetric distributions, with special emphasis on the skew-normal and the skew-t distributions which are the most prominent skew-symmetric models.
The paper focuses on the univariate case in the absence of covariates, but more general models are also discussed.

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