Details

Autor(en) / Beteiligte

• Mondal, Sagnik
• Arellano-Valle, Reinaldo B.
• Genton, Marc G.

Titel

A multivariate modified skew-normal distribution

Ist Teil von

• Statistical papers (Berlin, Germany), 2024-04, Vol.65 (2), p.511-555

Ort / Verlag

Berlin/Heidelberg: Springer Berlin Heidelberg

Erscheinungsjahr

2024

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• We 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.