TY - JOUR
T1 - On the FernándezSteel distribution
T2 - Inference and application
AU - Castillo, Nabor O.
AU - Gómez, Héctor W.
AU - Leiva, Víctor
AU - Sanhueza, Antonio
N1 - Funding Information:
The authors wish to thank the Editor-in-Chief, Prof. Stanley P. Azen, AE and anonymous referees for their constructive comments on an earlier version of this manuscript which resulted in this improved version. This study was partially supported by FONDECYT 1090411 , 1080326 and 1090265 grants from the Chilean government.
PY - 2011/11/1
Y1 - 2011/11/1
N2 - In this article, we perform statistical inference on a skew model that belongs to a class of distributions proposed by Fernández and Steel (1998). Specifically, we introduce two ways to represent this model by means of which moments and generation of random numbers can be obtained. In addition, we carry out estimation of the model parameters by moment and maximum likelihood methods. Asymptotic inference based on both of these methods is also produced. We analyze the expected Fisher information matrix associated with the model and highlight the fact that this does not have the singularity problem, as occurs with the corresponding information matrix of the skew-normal model introduced by Azzalini (1985). Furthermore, we conduct a simulation study to compare the performance of the moment and maximum likelihood estimators. Finally, an application based on real data is carried out.
AB - In this article, we perform statistical inference on a skew model that belongs to a class of distributions proposed by Fernández and Steel (1998). Specifically, we introduce two ways to represent this model by means of which moments and generation of random numbers can be obtained. In addition, we carry out estimation of the model parameters by moment and maximum likelihood methods. Asymptotic inference based on both of these methods is also produced. We analyze the expected Fisher information matrix associated with the model and highlight the fact that this does not have the singularity problem, as occurs with the corresponding information matrix of the skew-normal model introduced by Azzalini (1985). Furthermore, we conduct a simulation study to compare the performance of the moment and maximum likelihood estimators. Finally, an application based on real data is carried out.
KW - Asymmetry
KW - Data analysis
KW - Information matrix
KW - Monte Carlo simulation
KW - Numerical optimization
KW - R computer language
KW - Skewed distributions
UR - http://www.scopus.com/inward/record.url?scp=79959727274&partnerID=8YFLogxK
U2 - 10.1016/j.csda.2011.04.023
DO - 10.1016/j.csda.2011.04.023
M3 - Article
AN - SCOPUS:79959727274
SN - 0167-9473
VL - 55
SP - 2951
EP - 2961
JO - Computational Statistics and Data Analysis
JF - Computational Statistics and Data Analysis
IS - 11
ER -