Brazilian Journal of Probability and Statistics

A note on the parameterization of multivariate skewed-normal distributions

Luis M. Castro, Ernesto San Martín, and Reinaldo B. Arellano-Valle

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Azzalini’s skew-normal distribution is obtained through a conditional reduction of a multivariate normal distribution parameterized with a correlation matrix. It seems natural that when the parameterization of that multivariate normal distribution is complexified, more flexible skew-normal distributions could be obtained. In this note this specification strategy, previously explored by Azzalini [Scand. J. Stat. 33 (2006) 561–574] among many other authors, is formally analyzed through an identification analysis.

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Braz. J. Probab. Stat., Volume 27, Number 1 (2013), 110-115.

First available in Project Euclid: 16 October 2012

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Identification minimal sufficient parameter multivariate skewed-normal distributions


Castro, Luis M.; San Martín, Ernesto; Arellano-Valle, Reinaldo B. A note on the parameterization of multivariate skewed-normal distributions. Braz. J. Probab. Stat. 27 (2013), no. 1, 110--115. doi:10.1214/11-BJPS159.

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