Bayesian semi-parametric inference for elliptical distributions

R. Sillero Denamiel, J. M. Marín, P. Ramirez Cobo, F. Ruggeri, M. Wiper

Elliptical distributions are generalisations of the multivariate normal distribution to both longer tails and elliptical contours. In this work, we examine how we can use Bayesian methods to perform semi-parametric inference for elliptical distributions. We show how our approach might be used to test whether data are generated from an elliptical distribution or to test whether elliptical data could come from a particular elliptical distribution such as the normal or Student's t.

Keywords: Elliptical distribution, Dirichlet process mixture models

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I2L7. Georgina Blanes building

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