Problems of inference for Azzalini's skewnormal distribution

By Arthur Pewsey. 2000

231 citations recorded by the source corpus.

Subfields: Global and Planetary Change, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/a513da08b06081d8ff206314dbc2dfe68eeb73bc

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In Global and Planetary Change

In Statistics and Probability

Citations in the corpus

Robust Likelihood Methods Based on the Skew‐t and Related Distributions (2008, background): “…heavy tails, it is, however, appropriate to digress slightly to recall some problematic aspects connected to inference for (2), as discussed by Azzalini (1985), Azzalini & Capitanio (1999, Section 5), Pewsey (2000) and Chiogna (2005), because of their connection with our subsequent developments.”
Characterization of the skew-normal distribution (2004, background): “The statistical inference aspect for this distribution is partially addressed in Azzalini and Capitanio (1999), Pewsey (2000a), Salvan (1986) and Liseo (1990).”
The Skew‐normal Distribution and Related Multivariate Families * (2005, background): “These unusual aspects of the likelihood function and of the expected Fisher information matrix have been discussed by Azzalini (1985), Chiogna (1997), Azzalini & Capitanio (1999) and Pewsey (2000a).”
A unified view on skewed distributions arising from selections (2006, background): “It is currently the subject of vigorous research efforts and recent advances on this topic include work by Azzalini (2005), Azzalini & Capitanio (1999, 2003), DiCiccio & Monti (2004), Ma, Genton & Tsiatis (2005), Ma & Hart (2006), Pewsey (2000, 2006), and Sartori (2006).”
Skew scale mixtures of normal distributions: Properties and estimation (2011, background): “This certainly is a problem with the skew-normal and skew-t distributions (Pewsey, 2000).”
Multivariate log‐skew‐elliptical distributions with applications to precipitation data (2009, background): “Inferential properties of skewed distributions received much attention in the literature, especially for the case of skew-normal and skew-t distributions (e.g., Azzalini and Capitanio, 1999, 2003; Sartori, 2006; Pewsey, 2000, 2006; Azzalini and Genton, 2008; Arellano-Valle and Azzalini, 2008).”
Individual Loss Reserving with the Multivariate Skew Normal Model (2011, unknown): “For the MSN distribution, several authors have reported problems with maximum likelihood estimation, e.g. Pewsey (2000) and Azzalini & Capitanio (1999).”