Statistical applications of the multivariate skew-normal distribution

Details Statistical applications of the multivariate skew-normal distribution Statistical applications of the multivariate skew-normal distribution

2009-11-11

arxiv.org/abs/0911.2093v1

J. Royal Statistical Society, series B, 61 (1999) 579-602

Statistics

Methodology

full-length version of the published paper, 32 pages, with 7 figures, uses psfrag

Scientific paper

10.1111/1467-9868.00194

Azzalini & Dalla Valle (1996) have recently discussed the multivariate skew-normal distribution which extends the class of normal distributions by the addition of a shape parameter. The first part of the present paper examines further probabilistic properties of the distribution, with special emphasis on aspects of statistical relevance. Inferential and other statistical issues are discussed in the following part, with applications to some multivariate statistics problems, illustrated by numerical examples. Finally, a further extension is described which introduces a skewing factor of an elliptical density.

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