Bayesian Inference for Shape Mixtures of Skewed Distributions, with Application to Regression Analysis

We introduce a class of shape mixtures of skewed distributions and study some of its main properties. We discuss a Bayesian interpretation and some invariance results of the proposed class. We develop a Bayesian analysis of the skew-normal, skew-generalized-normal, skew-normal-t and skew-t-normal linear regression models under some special prior specifications for the model parameters. In particular, we show that the full posterior of the skew-normal regression model parameters is proper under an arbitrary proper prior for the shape parameter and noninformative prior for the other parameters. We implement a convenient hierarchical representation in order to obtain the corresponding posterior analysis. We illustrate our approach with an application to a real dataset on characteristics of Australian male athletes.