Statistical applications of the multivariate skew-normal distribution

2009/11/11 by Adelchi Azzalini, Antonella Capitanio · 4 citations
Mathematics · #stat.ME

paper · pdf · doi:10.1111/1467-9868.00194

published as J. Royal Statistical Society, series B, 61 (1999) 579-602 · full-length version of the published paper, 32 pages, with 7 figures, uses psfrag

arxiv created 2009/11/11 · arxiv updated 2009/12/01

Abstract

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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