Invariance-based estimating equations for skew-symmetric distributions

Adelchi Azzalini; Marc G. Genton; Bruno Scarpa

doi:10.1007/BF03263540

Invariance-based estimating equations for skew-symmetric distributions

Adelchi Azzalini^*, Marc G. Genton, Bruno Scarpa

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

12 Scopus citations

Abstract

We develop estimating equations for the parameters of the base density of a skew-symmetric distribution. The method is based on an invariance property with respect to asymmetry. Various properties of this approach and the selection of a root are discussed. We also present several extensions of the methodology, namely to the regression setting, the multivariate case, and the skew-t distribution. The approach is illustrated on several simulations and a numerical example.

Original language	English (US)
Pages (from-to)	275-298
Number of pages	24
Journal	Metron
Volume	68
Issue number	3
DOIs	https://doi.org/10.1007/BF03263540
State	Published - 2010
Externally published	Yes

Keywords

Asymmetry
Distributional invariance
Generalized skew-normal distribution
Root selection
Semiparametric

ASJC Scopus subject areas

Statistics and Probability

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10.1007/BF03263540

Cite this

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title = "Invariance-based estimating equations for skew-symmetric distributions",

abstract = "We develop estimating equations for the parameters of the base density of a skew-symmetric distribution. The method is based on an invariance property with respect to asymmetry. Various properties of this approach and the selection of a root are discussed. We also present several extensions of the methodology, namely to the regression setting, the multivariate case, and the skew-t distribution. The approach is illustrated on several simulations and a numerical example.",

keywords = "Asymmetry, Distributional invariance, Generalized skew-normal distribution, Root selection, Semiparametric",

author = "Adelchi Azzalini and Genton, {Marc G.} and Bruno Scarpa",

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doi = "10.1007/BF03263540",

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journal = "Metron",

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T1 - Invariance-based estimating equations for skew-symmetric distributions

AU - Azzalini, Adelchi

AU - Genton, Marc G.

AU - Scarpa, Bruno

PY - 2010

Y1 - 2010

N2 - We develop estimating equations for the parameters of the base density of a skew-symmetric distribution. The method is based on an invariance property with respect to asymmetry. Various properties of this approach and the selection of a root are discussed. We also present several extensions of the methodology, namely to the regression setting, the multivariate case, and the skew-t distribution. The approach is illustrated on several simulations and a numerical example.

AB - We develop estimating equations for the parameters of the base density of a skew-symmetric distribution. The method is based on an invariance property with respect to asymmetry. Various properties of this approach and the selection of a root are discussed. We also present several extensions of the methodology, namely to the regression setting, the multivariate case, and the skew-t distribution. The approach is illustrated on several simulations and a numerical example.

KW - Asymmetry

KW - Distributional invariance

KW - Generalized skew-normal distribution

KW - Root selection

KW - Semiparametric

UR - http://www.scopus.com/inward/record.url?scp=79956157405&partnerID=8YFLogxK

U2 - 10.1007/BF03263540

DO - 10.1007/BF03263540

M3 - Article

AN - SCOPUS:79956157405

SN - 0026-1424

VL - 68

SP - 275

EP - 298

JO - Metron

JF - Metron

IS - 3

ER -

Invariance-based estimating equations for skew-symmetric distributions

Abstract

Keywords

ASJC Scopus subject areas

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