Search

This paper introduces a new class of skew distributions by extending the alpha skew normal distribution proposed by Elal-Olivero [Elal-Olivero, D. Alpha-skew-normal distribution. Proyecciones. 2010;29:224–240]. Statistical properties of the new family are studied in details. In particular, explicit expressions for the moments and the shape parameters including the skewness and the kurtosis coefficients and the moment generating function are derived. The problem of estimating parameters on the basis of a random sample coming from the new class of distribution is considered. To examine the performance of the obtained estimators, a Monte Carlo simulation study is conducted. Flexibility and usefulness of the proposed family of distributions are illustrated by analysing three real data sets.

Various mixed models were developed to capture the features of between- and within-individual variation for longitudinal data under the normality assumption of the random effect and the within-individual random error. However, the normality assumption may be violated in some applications. To this end, this article assumes that the random effect follows a skew-normal distribution and the within-individual error is distributed as a reproductive dispersion model. An expectation conditional maximization (ECME) algorithm together with the Metropolis-Hastings (MH) algorithm within the Gibbs sampler is presented to simultaneously obtain estimates of parameters and random effects. Several diagnostic measures are developed to identify the potentially influential cases and assess the effect of minor perturbation to model assumptions via the case-deletion method and local influence analysis. To reduce the computational burden, we derive the first-order approximations to case-deletion diagnostics. Several simulation ...

We consider a distribution obtained by combining two well-known mechanisms for generating skewed distributions. In this manner we arrive at a flexible model which subsumes and extends several skew distributions which have been discussed in the literature. One approach to the problem of generating skewed distributions was first popularized by Azzalini [A class of distributions which includes the normal ones. Scand J Stat. 1985;12:171–178]. The single constraint skew normal distribution that was studied by Azzalini is of the form fSN(x)=2φ(x)Φ(αx), where φ and Φ denote, respectively, the standard normal density and distribution function and α∈ℝ is a skewing parameter. Multiple constraint variations of this distribution have also been considered. The second skewing approach that we will consider was proposed by Mudholkar and Hutson [The epsilon-skew-normal distribution for analyzing near-normal data. J Statist Plann Inference. 2000;83:291–309] and called an epsilon-skew-normal distribution. The combination o...

In this paper, we develop a generalized version of the two-piece skew normal distribution of Kim [On a class of two-piece skew-normal distributions, Statistics 39(6) (2005), pp. 537–553] and derive explicit expressions for its distribution function and characteristic function and discuss some of its important properties. Further estimation of the parameters of the generalized distribution is carried out.

Following the paper by Genton and Loperfido [Generalized skew-elliptical distributions and their quadratic forms, Ann. Inst. Statist. Math. 57 (2005), pp. 389–401], we say that Z has a generalized skew-normal distribution, if its probability density function (p.d.f.) is given by f(z)=2φ p (z; ξ, Ω)π (z−ξ), z∈ℝ p , where φ p (·; ξ, Ω) is the p-dimensional normal p.d.f. with location vector ξ and scale matrix Ω, ξ∈ℝ p , Ω>0, and π is a skewing function from ℝ p to ℝ, that is 0≤π (z)≤1 and π (−z)=1−π (z), ∀ z∈ℝ p . First the distribution of linear transformations of Z are studied, and some moments of Z and its quadratic forms are derived. Next we obtain the joint moment-generating functions (m.g.f.’s) of linear and quadratic forms of Z and then investigate conditions for their independence. Finally explicit forms for the above distributions, m.g.f.’s and moments are derived when π (z)=κ (α′z), where α∈ℝ p and κ is the normal, Laplace, logistic or uniform distribution function.

In this work, we investigate a new class of skew-symmetric distributions, which includes the distributions with the probability density function (pdf) given by g α(x)=2f(x) G(α x), introduced by Azzalini [A class of distributions which includes the normal ones, Scand. J. Statist. 12 (1985), pp. 171–178]. We call this new class as the symmetric-skew-symmetric family and it has the pdf proportional to f(x) G β(α x), where G β(x) is the cumulative distribution function of g β(x). We give some basic properties for the symmetric-skew-symmetric family and study the particular case obtained from the normal distribution.

In this paper, we prove that the joint distribution of random vectors Z 1 and Z 2 and the distribution of Z 2 are skew normal provided that Z 1 is skew normally distributed and Z 2 conditioning on Z 1 is distributed as closed skew normal. Also, we extend the main results to the matrix variate case.

WOS: 000269603600004, In this paper, we consider the family of skew generalized t (SGT) distributions originally introduced by Theodossiou [P. Theodossiou, Financial data and the skewed generalized t distribution, Manage. Sci. Part 1 44 (12) ( 1998), pp. 1650-1661] as a skew extension of the generalized t (GT) distribution. The SGT distribution family warrants special attention, because it encompasses distributions having both heavy tails and skewness, and many of the widely used distributions such as Student's t, normal, Hansen's skew t, exponential power, and skew exponential power (SEP) distributions are included as limiting or special cases in the SGT family. We show that the SGT distribution can be obtained as the scale mixture of the SEP and generalized gamma distributions. We investigate several properties of the SGT distribution and consider the maximum likelihood estimation of the location, scale, and skewness parameters under the assumption that the shape parameters are known. We show that if the shape parameters are estimated along with the location, scale, and skewness parameters, the influence function for the maximum likelihood estimators becomes unbounded. We obtain the necessary conditions to ensure the uniqueness of the maximum likelihood estimators for the location, scale, and skewness parameters, with known shape parameters. We provide a simple iterative re-weighting algorithm to compute the maximum likelihood estimates for the location, scale, and skewness parameters and show that this simple algorithm can be identified as an EM-type algorithm. We finally present two applications of the SGT distributions in robust estimation.

This article develops a class of the weighted normal distributions for which the probability density function has the form of a product of a normal density and a weight function. The class constitutes marginal distributions obtained from various kinds of doubly truncated bivariate normal distributions. This class of distributions strictly includes the normal, skew–normal and two-piece skew–normal and is useful for selection modelling and inequality constrained normal mean analysis. Some distributional properties and Bayesian perspectives of the class are given. Probabilistic representation of the distributions is also given. The representation is shown to be straightforward to specify distribution and to implement computation, with output readily adapted for required analysis. Necessary theories and illustrative examples are provided.

It is well known that many data, such as the financial or demographic data, exhibit asymmetric distributions. In recent years, researchers have concentrated their efforts to model this asymmetry. Skew normal model is one of such models that are skew and yet possess many properties of the normal model. In this paper, a new multivariate skew model is proposed, along with its statistical properties. It includes the multivariate normal distribution and multivariate skew normal distribution as special cases. The quadratic form of this random vector follows a χ2 distribution. The roles of the parameters in the model are investigated using contour plots of bivariate densities.

In this article, a class of uni/bimodal distributions is proposed as a model for data concentrated about two directions in roughly equal proportions. This is an extension of earlier work on the skew-normal distribution introduced by Azzalini [Azzalini, A., 1985, A class of distributions which includes the normal ones. Scandinavian Journal of Statistics, 12, 171–178.]. The class, which depends on a shape parameter θ ∈ (−∞, ∞), includes the normal distribution as a special case. Further, it defines yet another conditional distribution of compositely truncated bivariate normal distributions. Some distributional properties and inferences of the class are studied and further extensions are described. A sample of 850 KEBIX (Korea e-business index) scores is shown to be well described by this model.

In this paper, we define multivariate skew t-distribution which has some of the properties of multivariate t-distribution and has a shape parameter to represent skewness. Some of its properties are also studied including the moments. Multivariate skew-Cauchy distribution is given as a special case.