Revistes Publicacions URV: SORT - Statistics and Operations Research Transactions> 2013

A note on the Fisher information matrix for the skew-generalized-normal model

  • Dades identificatives

    Identificador: RP:2392
    Handle: https://hdl.handle.net/20.500.11797/RP2392
    Autors:
    Salinas, Hugo S.Gómez, Héctor W.Arellano-Valle, Reinaldo B.
    Resum:
    In this paper, the exact form of the Fisher information matrix for the skew-generalized normal (SGN) distribution is determined. The existence of singularity problems of this matrix for the skew-normal and normal particular cases is investigated. Special attention is given to the asymptotic properties of the MLEs under the skew-normality hypothesis.

  • Altres:

    Autor/s de la URV: Salinas, Hugo S. Gómez, Héctor W. Arellano-Valle, Reinaldo B.
    Paraules clau: Asymptotic distribution, Kurtosis, maximum likelihood estimation, singular information matrix, Skewness
    Resum: In this paper, the exact form of the Fisher information matrix for the skew-generalized normal (SGN) distribution is determined. The existence of singularity problems of this matrix for the skew-normal and normal particular cases is investigated. Special attention is given to the asymptotic properties of the MLEs under the skew-normality hypothesis.
    Any de publicació de la revista: 2013
    Tipus de publicació: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article

  • Paraules clau:

    Asymptotic distribution, Kurtosis, maximum likelihood estimation, singular information matrix, Skewness

  • Documents:

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