Statistical Applications of the Multivariate Skew Normal Distribution

DOI10.1111/1467-9868.00194zbMath0924.62050arXiv0911.2093OpenAlexW2120860882MaRDI QIDQ4266837

Adelchi Azzalini, Antonella Capitanio, Antonella Capitanio

Publication date: 9 November 1999

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0911.2093

zbMATH Keywords

quadratic formselliptical distributionsskewnessskew normal distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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