Information matrix for generalized skew - normal distributions.
DOI:
https://doi.org/10.4067/S0716-09172010000200001Keywords:
Generalized skew-normal distribution, Skew-normal distribution, Normal distribution, distribución normal-asimétrica generalizada, distribución normal-asimétrica, distribución normal.Abstract
The Fisher information matrix for Generalized skew-normal (GSN) distribution is derived. The expressions for the elements of the matrices require of integrals that are solved numerically using a suitable software.References
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Chiogna, M. A note on the asymptotic distribution of the maximum likelihood estimator for the scalar skew-normal distribution. Statistical Methods & Applications. 14, pp. 331-341, (2005).
DiCiccio, T. J. and Monti, A. C. Inferential Aspects of the Skew Exponential Power Distribution. Journal of the American Statistical Association. 99(466), pp. 439-450, (2004).
Gómez, H. W., Salinas, H. S. and Bolfarine, H., Generalized skewnormal models: Properties and inference. Statistics: A Journal of Theoretical and Applied Statistics. 40(6), pp. 495-505, (2006).
Lehman, E. L. & Casella, G. Theory of Point Estimation (2nd edition). New York, NY: Springer, (1998).
R Development Core Team, R : A language and environment for statistical computing. R Foundation for Statistical Computing, Vienna, Austria. ISBN 3-900051-07-0, URL http://www.R-project.org, (2010).
Rotnitzky, A. Cox, D. R., Bottai, M. and Robins, J., Likelihood-based inference with singular information matrix. Bernoulli. 6, pp. 243-284, (2000).
Published
2011-01-07
How to Cite
[1]
H. W. Gómez and H. S. Salinas, “Information matrix for generalized skew - normal distributions.”, Proyecciones (Antofagasta, On line), vol. 29, no. 2, pp. 83-92, Jan. 2011.
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