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Generalized skew-normal models: properties and inference 

Authors: Heacutector W. Goacutemez a;  Hugo S. Salinas a; Heleno Bolfarine b
Affiliations:   a Departamento de Matemaacutetica, Facultad de Ingenieriacutea, Universidad de Atacama, Chile
b Departamento de Estatistica, IME, Universidad de Sao Paulo, Brasil
DOI: 10.1080/02331880600723168
Publication Frequency: 6 issues per year
Published in: journal Statistics, Volume 40, Issue 6 December 2006 , pages 495 - 505
Formats available: HTML (English) : PDF (English)
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Abstract

In this article, we introduce a new family of asymmetric distributions, which depends on two parameters namely, agr and β, and in the special case where β = 0, the skew-normal (SN) distribution considered by Azzallini [Azzalini, A., 1985, A class of distributions which includes the normal ones. Scandinavian Journal of Statistics, 12, 171-178.] is obtained. Basic properties such as a stochastic representation and the derivation of maximum likelihood and moment estimators are studied. The asymptotic behaviour of both types of estimators is also investigated. Results of a small-scale simulation study is provided illustrating the usefulness of the new model. An application to a real data set is reported showing that it can present better fit than the SN distribution.
Keywords: Kurtosis; Skewness; Skew-normal distribution
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