This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 423
Type: Contributed
Date/Time: Tuesday, August 3, 2010 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract - #306752
Title: Skew Factor Models and Dynamic Skew Factor Models
Author(s): Beverly Jane Gaucher*+
Companies: Texas A&M University
Address: 800 Marion Pugh, College Station, TX, 77840, USA
Keywords: skewed distributions ; factor analysis ; dynamic factor analysis ; selection distributions ; BEKK model ; leverage effect
Abstract:

This research shows that factor analysis parameter estimates and dynamic factor analysis parameter estimates are robust to skewness in multivariate data.

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