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A note on the asymptotic distribution of the maximum likelihood estimator for the scalar skew-normal distribution

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  • Monica Chiogna

    (University of Padova)

Abstract

. We consider likelihood based inference for the parameter of a skew-normal distribution. One of the problems shown by this model is the singularity of the Fisher information matrix when skewness is absent. We derive the rate of convergence to the asymptotic distribution of the maximum likelihood estimator and study an alternative parameterization which overcomes problems related to the singularity of the information matrix.

Suggested Citation

  • Monica Chiogna, 2005. "A note on the asymptotic distribution of the maximum likelihood estimator for the scalar skew-normal distribution," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 14(3), pages 331-341, December.
    • Handle: RePEc:spr:stmapp:v:14:y:2005:i:3:d:10.1007_s10260-005-0117-7
    DOI: 10.1007/s10260-005-0117-7
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    Citations

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    Cited by:

    1. Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
    2. Azzalini, Adelchi, 2022. "An overview on the progeny of the skew-normal family— A personal perspective," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    3. Alecos Papadopoulos & Christopher F. Parmeter, 2024. "The wrong skewness problem in stochastic frontier analysis: a review," Journal of Productivity Analysis, Springer, vol. 61(2), pages 121-134, April.
    4. Ley, Christophe, 2023. "When the score function is the identity function - A tale of characterizations of the normal distribution," Econometrics and Statistics, Elsevier, vol. 26(C), pages 153-160.
    5. Christophe Ley & Davy Paindaveine, 2010. "On Fisher information matrices and profile log-likelihood functions in generalized skew-elliptical models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 235-250.
    6. Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2013. "The centred parameterization and related quantities of the skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 73-90.
    7. Dylan Molenaar & Conor Dolan & Paul Boeck, 2012. "The Heteroscedastic Graded Response Model with a Skewed Latent Trait: Testing Statistical and Substantive Hypotheses Related to Skewed Item Category Functions," Psychometrika, Springer;The Psychometric Society, vol. 77(3), pages 455-478, July.
    8. Luca Greco, 2011. "Minimum Hellinger distance based inference for scalar skew-normal and skew-t distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(1), pages 120-137, May.
    9. Ley, Christophe & Paindaveine, Davy, 2010. "On the singularity of multivariate skew-symmetric models," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1434-1444, July.
    10. C. C. Figueiredo & H. Bolfarine & M. C. Sandoval & C. R. O. P. Lima, 2010. "On the skew-normal calibration model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(3), pages 435-451.
    11. Thomas J. DiCiccio & Anna Clara Monti, 2018. "Testing for sub-models of the skew t-distribution," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(1), pages 25-44, March.
    12. Castillo, Nabor O. & Gómez, Héctor W. & Leiva, Víctor & Sanhueza, Antonio, 2011. "On the Fernández-Steel distribution: Inference and application," Computational Statistics & Data Analysis, Elsevier, vol. 55(11), pages 2951-2961, November.
    13. Angela Montanari & Cinzia Viroli, 2010. "A skew-normal factor model for the analysis of student satisfaction towards university courses," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(3), pages 473-487.
    14. Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2008. "The centred parametrization for the multivariate skew-normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 99(7), pages 1362-1382, August.

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