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A stochastic ordering based on the canonical transformation of skew-normal vectors

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  • Jorge M. Arevalillo

    (University Nacional Educación a Distancia (UNED))

  • Hilario Navarro

    (University Nacional Educación a Distancia (UNED))

Abstract

In this paper, we define a new skewness ordering that enables stochastic comparisons for vectors that follow a multivariate skew-normal distribution. The new ordering is based on the canonical transformation associated with the multivariate skew-normal distribution and on the well-known convex transform order applied to the only skewed component of such canonical transformation. We examine the connection between the proposed ordering and the multivariate convex transform order studied by Belzunce et al. (TEST 24(4):813–834, 2015). Several standard skewness measures like Mardia’s and Malkovich–Afifi’s indices are revisited and interpreted in connection with the new ordering; we also study its relationship with the J-divergence between skew-normal and normal random vectors and with the Negentropy. Some artificial data are used in simulation experiments to illustrate the theoretical discussion; a real data application is provided as well.

Suggested Citation

  • Jorge M. Arevalillo & Hilario Navarro, 2019. "A stochastic ordering based on the canonical transformation of skew-normal vectors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 475-498, June.
    • Handle: RePEc:spr:testjl:v:28:y:2019:i:2:d:10.1007_s11749-018-0583-5
    DOI: 10.1007/s11749-018-0583-5
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    References listed on IDEAS

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    15. Arevalillo, Jorge M. & Navarro, Hilario, 2015. "A note on the direction maximizing skewness in multivariate skew-t vectors," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 328-332.
    16. Masanobu Taniguchi & Alexandre Petkovic & Takehiro Kase & Thomas DiCiccio & Anna Clara Monti, 2015. "Robust portfolio estimation under skew-normal return processes," The European Journal of Finance, Taylor & Francis Journals, vol. 21(13-14), pages 1091-1112, November.
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    Cited by:

    1. Jorge M. Arevalillo & Hilario Navarro, 2020. "Data projections by skewness maximization under scale mixtures of skew-normal vectors," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 14(2), pages 435-461, June.
    2. Jorge M. Arevalillo & Hilario Navarro, 2021. "Skewness-Kurtosis Model-Based Projection Pursuit with Application to Summarizing Gene Expression Data," Mathematics, MDPI, vol. 9(9), pages 1-18, April.

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