Skew-symmetric distributions and Fisher information -- a tale of two densities
From MaRDI portal
Publication:442072
DOI10.3150/12-BEJ346zbMATH Open1243.62068arXiv1207.0282OpenAlexW2158150892MaRDI QIDQ442072FDOQ442072
Authors: Marc Hallin, Christophe Ley 
Publication date: 9 August 2012
Published in: Bernoulli (Search for Journal in Brave)
Abstract: Skew-symmetric densities recently received much attention in the literature, giving rise to increasingly general families of univariate and multivariate skewed densities. Most of those families, however, suffer from the inferential drawback of a potentially singular Fisher information in the vicinity of symmetry. All existing results indicate that Gaussian densities (possibly after restriction to some linear subspace) play a special and somewhat intriguing role in that context. We dispel that widespread opinion by providing a full characterization, in a general multivariate context, of the information singularity phenomenon, highlighting its relation to a possible link between symmetric kernels and skewing functions -- a link that can be interpreted as the mismatch of two densities.
Full work available at URL: https://arxiv.org/abs/1207.0282
Recommendations
- Skew-symmetric distributions and Fisher information: the double sin of the skew-normal
- Fisher information for the elliptically symmetric Pearson distributions
- Do tails of symmetric distributions contain more Fisher information about the scale parameter
- On the comparison of Fisher information of some probability distributions
- Inference on skew-normal distribution based on Fisher information in order statistics
- A note on the Fisher information matrix for the skew-generalized-normal model
- Fisher information in weighted distributions
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Foundational topics in statistics (62A99)
Cites Work
- Statistical Applications of the Multivariate Skew Normal Distribution
- Asymptotic Statistics
- Skewed multivariate models related to hidden truncation and/or selective reporting. With discussion and a rejoinder by the authors.
- Title not available (Why is that?)
- A distribution-free M-estimator of multivariate scatter
- Robust Likelihood Methods Based on the Skew-t and Related Distributions
- Title not available (Why is that?)
- Title not available (Why is that?)
- The Skew-normal Distribution and Related Multivariate Families*
- Inferential Aspects of the Skew Exponential Power Distribution
- A general class of multivariate skew-elliptical distributions
- The multivariate skew-normal distribution
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Problems of inference for Azzalini's skewnormal distribution
- A note on the asymptotic distribution of the maximum likelihood estimator for the scalar skew-normal distribution
- Title not available (Why is that?)
- Likelihood-based inference with singular information matrix
- On Fisher information matrices and profile log-likelihood functions in generalized skew-elliptical models
- Generalized skew-elliptical distributions and their quadratic forms
- The centred parametrization for the multivariate skew-normal distribution
- On the singularity of multivariate skew-symmetric models
- Title not available (Why is that?)
Cited In (25)
- Optimal tests for elliptical symmetry: specified and unspecified location
- Skew-symmetric distributions and Fisher information: the double sin of the skew-normal
- An overview on the progeny of the skew-normal family -- a personal perspective
- On application of the univariate Kotz distribution and some of its extensions
- Testing for sub-models of the skew \(t\)-distribution
- Application of skew-normal distribution for detecting differential expression to microRNA data
- Point estimation of the location parameter of a skew-normal distribution: some fixed sample and asymptotic results
- Bimodality based on the generalized skew-normal distribution
- Skew generalized extreme value distribution: probability-weighted moments estimation and application to block maxima procedure
- Singularity structures and impacts on parameter estimation in finite mixtures of distributions
- Skew-rotationally-symmetric distributions and related efficient inferential procedures
- A note on the Fisher information matrix for the flexible generalized-skew-normal model
- On the independence Jeffreys prior for skew-symmetric models
- On the multivariate skew-normal-Cauchy distribution
- Analysis of antibody data using skew-normal and skew-\(t\) mixture models
- On Fisher information matrices and profile log-likelihood functions in generalized skew-elliptical models
- A multivariate skew-normal-Tukey-\(h\) distribution
- Fitting asymmetric bimodal data with selected distributions
- On the singularity of multivariate skew-symmetric models
- Some Computational Aspects of Maximum Likelihood Estimation of the Skew-t Distribution
- On Families of Distributions with Shape Parameters
- Linear transformations to symmetry
- Multivariate skew distributions with mode-invariance through the transformation of scale
- Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
- Inference on skew-normal distribution based on Fisher information in order statistics
Uses Software
This page was built for publication: Skew-symmetric distributions and Fisher information -- a tale of two densities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q442072)
