The generalization of the classical multivariate t-distribution to the Dirichlet t-distribution proposed in the paper under discussion allows to model graphs that account for outliers, still keeping a reasonably low computational burden. In this comment we focus on a possible further generalization aiming at incorporating skewness in the analysis.
Peluso, S., Robust Bayesian Graphical Modeling Using Dirichlet t-Distributions. Contributed Discussion, <<BAYESIAN ANALYSIS>>, 2014; 9 (3): 583-585. [doi:10.1214/13-BA856D] [http://hdl.handle.net/10807/66029]
Robust Bayesian Graphical Modeling Using Dirichlet t-Distributions. Contributed Discussion
Peluso, Stefano
2014
Abstract
The generalization of the classical multivariate t-distribution to the Dirichlet t-distribution proposed in the paper under discussion allows to model graphs that account for outliers, still keeping a reasonably low computational burden. In this comment we focus on a possible further generalization aiming at incorporating skewness in the analysis.
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