Panagiotelis, Anastasios; Smith, Michael - In: Computational Statistics & Data Analysis 54 (2010) 7, pp. 1824-1839
We develop a Bayesian approach for the selection of skew in multivariate skew t distributions constructed through hidden conditioning in the manners suggested by either Azzalini and Capitanio (2003) or Sahu et al. (2003). We show that the skew coefficients for each margin are the same for the...