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http://dx.doi.org/10.5351/CKSS.2005.12.2.323

Bayesian Estimation for Skew Normal Distributions Using Data Augmentation  

Kim Hea-Jung (Department of Statistics, Dongguk University)
Publication Information
Communications for Statistical Applications and Methods / v.12, no.2, 2005 , pp. 323-333 More about this Journal
Abstract
In this paper, we develop a MCMC method for estimating the skew normal distributions. The method utilizing the data augmentation technique gives a simple way of inferring the distribution where fully parametric frequentist approaches are not available for small to moderate sample cases. Necessary theories involved in the method and computation are provided. Two numerical examples are given to demonstrate the performance of the method.
Keywords
Skew normal distribution; Bayesian estimation; MCMC; data augmentation;
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