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Problems of inference for Azzalini's skewnormal distribution

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  • Arthur Pewsey

Abstract

This paper considers various unresolved inference problems for the skewnormal distribution. We give reasons as to why the direct parameterization should not be used as a general basis for estimation, and consider method of moments and maximum likelihood estimation for the distribution's centred parameterization. Large sample theory results are given for the method of moments estimators, and numerical approaches for obtaining maximum likelihood estimates are discussed. Simulation is used to assess the performance of the two types of estimation. We also present procedures for testing for departures from the limiting folded normal distribution. Data on the percentage body fat of elite athletes are used to illustrate some of the issues raised.

Suggested Citation

  • Arthur Pewsey, 2000. "Problems of inference for Azzalini's skewnormal distribution," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 859-870.
    • Handle: RePEc:taf:japsta:v:27:y:2000:i:7:p:859-870
    DOI: 10.1080/02664760050120542
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    References listed on IDEAS

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    1. Barry Arnold & Robert Beaver & Richard Groeneveld & William Meeker, 1993. "The nontruncated marginal of a truncated bivariate normal distribution," Psychometrika, Springer;The Psychometric Society, vol. 58(3), pages 471-488, September.
    2. A. Azzalini & A. Capitanio, 1999. "Statistical applications of the multivariate skew normal distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 579-602.
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