A general class of scale-shape mixtures of skew-normal distributions: properties and estimation

作者：Jamalizadeh Ahad; Lin Tsung I^*

来源：Computational Statistics, 2017, 32(2): 451-474.

DOI：10.1007/s00180-016-0691-1

• Asymmetry
• Bessel function
• Kurtosis
• Observed information
• Skew distributions
• Truncated normal

This paper introduces the scale-shape mixtures of skew-normal (SSMSN) distributions which provide alternative candidates for modeling asymmetric data in a wide variety of settings. We obtain the moments and study some characterizations of the SSMSN distributions. Instead of resorting to numerical optimization procedures, two variants of EM algorithms are developed for carrying out maximum likelihood estimation. Our algorithms are analytically simple because closed-form expressions of conditional expectations in the E-step as well as the updating estimators in the M-step can be explicitly obtained. The observed information matrix is derived for approximating the asymptotic covariance matrix of parameter estimates. A simulation study is conducted to examine the finite sample properties of ML estimators. The utility of the proposed methodology is illustrated by analyzing a real example.

• 出版日期2017-6
• 单位中国医科大学