Skewed factor models using selection mechanisms

Hyoung-Moon Kim, Mehdi Maadooliat, Reinaldo B. Arellano-Valle, Marc G. Genton

Research output: Contribution to journalArticlepeer-review

7 Scopus citations


Traditional factor models explicitly or implicitly assume that the factors follow a multivariate normal distribution; that is, only moments up to order two are involved. However, it may happen in real data problems that the first two moments cannot explain the factors. Based on this motivation, here we devise three new skewed factor models, the skew-normal, the skew-tt, and the generalized skew-normal factor models depending on a selection mechanism on the factors. The ECME algorithms are adopted to estimate related parameters for statistical inference. Monte Carlo simulations validate our new models and we demonstrate the need for skewed factor models using the classic open/closed book exam scores dataset.
Original languageEnglish (US)
Pages (from-to)162-177
Number of pages16
JournalJournal of Multivariate Analysis
StatePublished - Dec 21 2015

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Numerical Analysis


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