Multivariate exponential power distributionsas mixtures of normal distributions withBayesian applications
Miguel Angel Gómez Villegas, Eusebio Gómez Sánchez-Manzano, Juan Miguel Marín Diazaraque · 2008
It is shown that a multivariate exponential power distribution is a scale mixture of normal distributions, with respect to a probability distribution function, when its kurtosis parameter belongs to the interval (0,1]. The corresponding mixing probability distribution function is presented. This result is used to design a Bayesian hierarchical model and an algorithm to generate samples of the posterior distribution; these are applied to a problem of Quantitative Genetics.