Skew-symmetric distributions and Fisher information: the double sin of the skew-normal

DOI10.3150/13-BEJ528zbMATH1302.60030OpenAlexW1971531588MaRDI QIDQ396013FDOQ396013

Authors Marc Hallin, Christophe Ley

Publication date 8 August 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1209.4177

zbMATH Keywords

skew-normal distributionscentred parametrizationconsistency ratessingular Fisher informationskew-symmetric distributionsskewing function

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Parametric inference (62F99)

Abstract: Hallin and Ley [Bernoulli 18 (2012) 747-763] investigate and fully characterize the Fisher singularity phenomenon in univariate and multivariate families of skew-symmetric distributions. This paper proposes a refined analysis of the (univariate) problem, showing that singularity can be more or less severe, inducing $n^{1/4}$ ("simple singularity"), $n^{1/6}$ ("double singularity"), or $n^{1/8}$ ("triple singularity") consistency rates for the skewness parameter. We show, however, that simple singularity (yielding $n^{1/4}$ consistency rates), if any singularity at all, is the rule, in the sense that double and triple singularities are possible for generalized skew-normal families only. We also show that higher-order singularities, leading to worse-than-$n^{1/8}$ rates, cannot occur. Depending on the degree of the singularity, our analysis also suggests a simple reparametrization that offers an alternative to the so-called centred parametrization proposed, in the particular case of skew-normal and skew-$t$ families, by Azzalini [Scand. J. Stat. 12 (1985) 171-178], Arellano-Valle and Azzalini [J. Multivariate Anal. 113 (2013) 73-90], and DiCiccio and Monti [Quaderni di Statistica 13 (2011) 1-21], respectively.

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Cited in

(16)

• Discussion
• Skew-rotationally-symmetric distributions and related efficient inferential procedures
• A note on the Fisher information matrix for the flexible generalized-skew-normal model
• Detecting the direction of a signal on high-dimensional spheres: non-null and Le Cam optimality results
• Bimodality based on the generalized skew-normal distribution
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• Singularity structures and impacts on parameter estimation in finite mixtures of distributions
• On Fisher information matrices and profile log-likelihood functions in generalized skew-elliptical models
• A note on the Fisher information matrix for the skew-generalized-normal model

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