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Statistics
A Journal of Theoretical and Applied Statistics
Volume 40, 2006 - Issue 6
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Original Articles

Generalized skew-normal models: properties and inference

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Pages 495-505 | Received 31 Mar 2004, Published online: 23 Nov 2006
 

Abstract

In this article, we introduce a new family of asymmetric distributions, which depends on two parameters namely, α and β, and in the special case where β = 0, the skew-normal (SN) distribution considered by Azzallini [Azzalini, A., 1985, A class of distributions which includes the normal ones. Scandinavian Journal of Statistics, 12, 171–178.] is obtained. Basic properties such as a stochastic representation and the derivation of maximum likelihood and moment estimators are studied. The asymptotic behaviour of both types of estimators is also investigated. Results of a small-scale simulation study is provided illustrating the usefulness of the new model. An application to a real data set is reported showing that it can present better fit than the SN distribution.

Acknowledgements

The authors acknowledge helpful comments and suggestions from two referees, which substantially improved the presentation. Financial support from CNPq-Brasil is also acknowledged. Salinas was partially supported by Grant MECESUP PUC-0103.

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