Bayesian analysis of a skewed exponential power distribution

A Bayesian analysis of a skewed exponential power distribution has been performed. The skewed exponential power family includes the symmetric exponential power distribution as a particular case and provides flexible distributions with lighter and heavier tails compared to the normal one. The distributions of this family can successfully handle both symmetry/asymmetry and light/heavy tails simultaneously. Even more, the distributions can fit each tail separately. The computational difficulties of tackling the posterior distribution have been avoided by proposing a scale mixture of uniforms representation. This representation has allowed to derive an efficient Gibbs sampling algorithm. The proposed approach represents a viable alternative to analyze data providing flexible fits.