The centred parametrization for the multivariate skew-normal distribution

By Reinaldo Boris Arellano-Valle, Adelchi Azzalini. 2008

133 citations recorded by the source corpus.

For statistical inference connected to the scalar skew-normal distribution, it is known that the so-called centred parametrization provides a more convenient parametrization than the one commonly employed for writing the density function. We extend the definition of the centred parametrization to the multivariate case, and study the corresponding information matrix.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ecca9dd1efd3fe752c529d195a6952630d67859a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Statistics and Probability

Citations in the corpus

Skew-symmetric distributions and Fisher information -- a tale of two densities (2012, background): “ry beginning, in Azzalini [3] itself, it is discussed, in the univariate and multivariate skew-normal context, by Azzalini and Capitanio [6], Pewsey [19], Chiogna [11] and Arellano-Valle and Azzalini [1]. The same issue has been considered in various subclasses of skew-symmetric distributions. Pewse”
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).”
Maximum penalized likelihood estimation for skew-normal and skew-t distributions (2012, methodology): “For a general overview of the subject, we refer the readers to the book edited by Genton (2004) and the review paper of Azzalini (2005); a concise account on the skew-normal distribution, including its multivariate version, is given by Azzalini (2011).”
The scaling of human interactions with city size (2012, background): “To simplify the interpretation the ‘direct parameters’ ( , , ) can be transformed into the ‘centred parameters’ ( , , ) where , and denotes the skewness of the distribution [8].”
Skewed distributions in finance and actuarial science: a review (2015, background): “Centered parameterization might also be useful for the MESN case, but satisfactory theoretical results for this distribution are difficult to obtain (Arellano-Valle and Azzalini 2008).”