Likelihood Based Inference and Bias Reduction in the Modified Skew-t-Normal Distribution

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dc.contributor.authorArrue, Jaime
dc.contributor.authorArellano-Valle, Reinaldo B.
dc.contributor.authorCalderin-Ojeda, Enrique
dc.contributor.authorVenegas, Osvaldo
dc.contributor.authorGomez, Hector W.
dc.date.accessioned2025-01-20T20:07:52Z
dc.date.available2025-01-20T20:07:52Z
dc.date.issued2023
dc.description.abstractIn this paper, likelihood-based inference and bias correction based on Firth's approach are developed in the modified skew-t-normal (MStN) distribution. The latter model exhibits a greater flexibility than the modified skew-normal (MSN) distribution since it is able to model heavily skewed data and thick tails. In addition, the tails are controlled by the shape parameter and the degrees of freedom. We provide the density of this new distribution and present some of its more important properties including a general expression for the moments. The Fisher's information matrix together with the observed matrix associated with the log-likelihood are also given. Furthermore, the non-singularity of the Fisher's information matrix for the MStN model is demonstrated when the shape parameter is zero. As the MStN model presents an inferential problem in the shape parameter, Firth's method for bias reduction was applied for the scalar case and for the location and scale case.
dc.fuente.origenWOS
dc.identifier.doi10.3390/math11153287
dc.identifier.eissn2227-7390
dc.identifier.urihttps://doi.org/10.3390/math11153287
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/91855
dc.identifier.wosidWOS:001045529900001
dc.issue.numero15
dc.language.isoen
dc.revistaMathematics
dc.rightsacceso restringido
dc.subjectmodified skew-t-normal
dc.subjectnon-singular information matrix
dc.subjectmonotone likelihood
dc.subjectmodified likelihood
dc.subjectmodified score
dc.subjectbias prevention
dc.subject.ods03 Good Health and Well-being
dc.subject.odspa03 Salud y bienestar
dc.titleLikelihood Based Inference and Bias Reduction in the Modified Skew-t-Normal Distribution
dc.typeartículo
dc.volumen11
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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