ON BAYESIAN ESTIMATION AND PROPERTIES OF THE MARGINAL DISTRIBUTION OF A TRUNCATED BIVARIATE t-DISTRIBUTION

  • KIM HEA-JUNG (Department of Statistics, Dongguk University) ;
  • KIM Ju SUNG (Department of Statistics, Dongguk University)
  • 발행 : 2005.09.01

초록

The marginal distribution of X is considered when (X, Y) has a truncated bivariate t-distribution. This paper mainly focuses on the marginal nontruncated distribution of X where Y is truncated below at its mean and its observations are not available. Several properties and applications of this distribution, including relationship with Azzalini's skew-normal distribution, are obtained. To circumvent inferential problem arises from adopting the frequentist's approach, a Bayesian method utilizing a data augmentation method is suggested. Illustrative examples demonstrate the performance of the method.

키워드

참고문헌

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