Abstract
We introduce a new family of asymmetric normal distributions that contains Azzalini's skew-normal (SN) distribution as a special case. We study the main properties of this new family, showing in particular that it may be generated via mixtures on the SN asymmetry parameter when the mixing distribution is normal. This property provides a Bayesian interpretation of the new family.
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Acknowledgments
The first author is partially supported by grant FONDECYT 1040865. The second author is partially supported by grant MECESUP PUC-0103. The third author is partially supported by grant FONDECYT 1020712.