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EnglishThis paper introduces a multivariate circular–linear (or poly-cylindrical) distribution obtained by combining the projected and the skew-normal. We show the flexibility of our proposal, its closure under marginalization, and how to quantify multivariate dependence. Due to a non-identifiability issue that our proposal inherits from the projected normal, a computational problem arises. We overcome it in a Bayesian framework, adding suitable latent variables and showing that posterior samples can be obtained with a post-processing of the estimation algorithm output. Under specific prior choices, this approach enables us to implement a Markov chain Monte Carlo algorithm relying only on Gibbs steps, where the updates of the parameters are done as if we were working with a multivariate normal likelihood. The proposed approach can also be used with the projected normal. As a proof of concept, on simulated examples we show the ability of our algorithm in recovering the parameter values and to solve the identification problem. Then the proposal is used in a real data example, where the turning-angles (circular variables) and the logarithm of the step-lengths (linear variables) of four zebras are modeled jointly.
The joint projected normal and skew-normal: A distribution for poly-cylindrical data / Mastrantonio, G.. - In: JOURNAL OF MULTIVARIATE ANALYSIS. - ISSN 0047-259X. - 165(2018), pp. 14-26.
| Titolo: | The joint projected normal and skew-normal: A distribution for poly-cylindrical data | |
| Autori: | ||
| Data di pubblicazione: | 2018 | |
| Rivista: | ||
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.jmva.2017.11.006 | |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
File in questo prodotto:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| 2018 - The joint projected normal and skew-normal.pdf | 2a Post-print versione editoriale / Version of Record | Non Pubblico - Accesso privato/ristretto | Administrator Richiedi una copia | |
| JMVA_2017_77-EiC.pdf | 1. Preprint / Submitted Version | PUBBLICO - Tutti i diritti riservati | Visibile a tuttiVisualizza/Apri |
http://hdl.handle.net/11583/2777034
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