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.
- Distributional invariance
- Generalized skew-normal distribution
- Root selection
ASJC Scopus subject areas
- Statistics and Probability