Box-Cox elliptical distributions with application

Autor(es)

Moran-Vasquez, Raul Alejandro ^[1] ; Ferrari, Silvia L. P. ^[2]

Afiliação do(s) autor(es)

^[1] Univ Antioquia, Inst Math, Medellin - Colombia

^[2] Univ Sao Paulo, Dept Stat, Sao Paulo - Brazil

• Tipo de documento: Artigo Científico
• Fonte: METRIKA; v. 82, n. 5, p. 547-571, JUL 2019.
• Citações Web of Science: 1

Resumo

We propose and study the class of Box-Cox elliptical distributions. It provides alternative distributions for modeling multivariate positive, marginally skewed and possibly heavy-tailed data. This new class of distributions has as a special case the class of log-elliptical distributions, and reduces to the Box-Cox symmetric class of distributions in the univariate setting. The parameters are interpretable in terms of quantiles and relative dispersions of the marginal distributions and of associations between pairs of variables. The relation between the scale parameters and quantiles makes the Box-Cox elliptical distributions attractive for regression modeling purposes. Applications to data on vitamin intake are presented and discussed. (AU)

• Processo FAPESP: 12/21788-2 - Modelos de regressão e aplicações
• Beneficiário: Heleno Bolfarine
• Modalidade de apoio: Auxílio à Pesquisa - Temático