Model-based clustering using a new multivariate skew distribution
Salvatore D. Tomarchio, Luca Bagnato, Antonio Punzo · Advances in Data Analysis and Classification · 2023
Abstract Quite often real data exhibit non-normal features, such as asymmetry and heavy tails, and present a latent group structure. In this paper, we first propose the multivariate skew shifted exponential normal distribution that can account for these non-normal characteristics. Then, we use this distribution in a finite mixture modeling framework. An EM algorithm is illustrated for maximum-likelihood parameter estimation. We provide a simulation study that compares the fitting performance of our model with those of several alternative models. The comparison is also conducted on a real dataset concerning the log returns of four cryptocurrencies.