Multivariate geometric skew-normal distribution

DOI10.1080/02331888.2017.1355369MaRDI QIDQ4600816zbMATH OpenOpenAlexFDO

Authors Debasis Kundu

Publication date 12 January 2018

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.07681

zbMATH Keywords

EM algorithmFisher information matrixinfinite divisible distributionmaximum likelihood estimatorsmoment-generating functionskew-normal distribution

Mathematics Subject Classification ID

Point estimation (62F10) Multivariate distribution of statistics (62H10)

Abstract: Azzalini (1985) introduced a skew-normal distribution of which normal distribution is a special case. Recently Kundu (2014) introduced a geometric skew-normal distribution and showed that it has certain advantages over Azzalini's skew-normal distribution. In this paper we discuss about the multivariate geometric skew-normal distribution. It can be used as an alternative to Azzalini's skew normal distribution. We discuss different properties of the proposed distribution. It is observed that the joint probability density function of the multivariate geometric skew normal distribution can take variety of shapes. Several characterization results have been established. Generation from a multivariate geometric skew normal distribution is quite simple, hence the simulation experiments can be performed quite easily. The maximum likelihood estimators of the unknown parameters can be obtained quite conveniently using expectation maximization (EM) algorithm. We perform some simulation experiments and it is observed that the performances of the proposed EM algorithm are quite satisfactory. Further, the analyses of two data sets have been performed, and it is observed that the proposed methods and the model work very well.

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Cited in

(15)

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• On a general class of discrete bivariate distributions
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• Simultaneous Bayesian modeling of longitudinal and survival data in breast cancer patients
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• Allometric analysis using the multivariate shifted exponential normal distribution
• Bayesian hierarchical mixture models for detecting non‐normal clusters applied to noisy genomic and environmental datasets
• Harris skewed normal distribution
• Higher-order expansions of sample range from skew-normal distribution
• Modeling temporal dependence of longitudinal data: use of multivariate geometric skew-normal copula
• Geometric scale mixtures of normal distributions
• Bayesian clustering of skewed and multimodal data using geometric skewed normal distributions

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