Volume 61, Issue 3

Statistical applications of the multivariate skew normal distribution

First published: 06 January 2002
Citations: 598
A. Azzalini Departimento di Scienze Statistiche, Università degli Studi di Padova, via S. Francesco 33, 35121 Padova, Italy. E-mail address: azzalini@mailhost.stat.unipd.it

Abstract

Azzalini and Dalla Valle have recently discussed the multivariate skew normal distribution which extends the class of normal distributions by the addition of a shape parameter. The first part of the present paper examines further probabilistic properties of the distribution, with special emphasis on aspects of statistical relevance. Inferential and other statistical issues are discussed in the following part, with applications to some multivariate statistics problems, illustrated by numerical examples. Finally, a further extension is described which introduces a skewing factor of an elliptical density.

Number of times cited according to CrossRef: 598

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