A multivariate modified skew-normal distribution

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dc.contributor.authorMondal, Sagnik
dc.contributor.authorArellano-Valle, Reinaldo B.
dc.contributor.authorGenton, Marc G.
dc.date.accessioned2025-01-20T17:12:16Z
dc.date.available2025-01-20T17:12:16Z
dc.date.issued2024
dc.description.abstractWe introduce a multivariate version of the modified skew-normal distribution, which contains the multivariate normal distribution as a special case. Unlike the Azzalini multivariate skew-normal distribution, this new distribution has a nonsingular Fisher information matrix when the skewness parameters are all zero, and its profile log-likelihood of the skewness parameters is always a non-monotonic function. We study some basic properties of the proposed family of distributions and present an expectation-maximization (EM) algorithm for parameter estimation that we validate through simulation studies. Finally, we apply the proposed model to the univariate frontier data and to a trivariate wind speed data, and compare its performance with the Azzalini skew-normal model.
dc.description.funderKing Abdullah University of Science and Technology (KAUST)
dc.fuente.origenWOS
dc.identifier.doi10.1007/s00362-023-01397-1
dc.identifier.eissn1613-9798
dc.identifier.issn0932-5026
dc.identifier.urihttps://doi.org/10.1007/s00362-023-01397-1
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/91241
dc.identifier.wosidWOS:000930139600001
dc.issue.numero2
dc.language.isoen
dc.pagina.final555
dc.pagina.inicio511
dc.revistaStatistical papers
dc.rightsacceso restringido
dc.subjectEM algorithm
dc.subjectFisher information matrix
dc.subjectModified skew-normal
dc.subjectSkew-elliptical
dc.subjectSkew-generalized normal
dc.subjectSkew-normal
dc.subject.ods03 Good Health and Well-being
dc.subject.odspa03 Salud y bienestar
dc.titleA multivariate modified skew-normal distribution
dc.typeartículo
dc.volumen65
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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