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

Identifier:  RP:2392

Handle: https://hdl.handle.net/20.500.11797/RP2392

Authors:  Salinas, Hugo S.; Gómez, Héctor W.; Arellano-Valle, Reinaldo B.

Abstract:
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.