A note on the Fisher information matrix for the skew-generalized-normal model
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 properti...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2013 |
| País: | España |
| Institución: | Universitat Politècnica de Catalunya (UPC) |
| Repositorio: | UPCommons. Portal del coneixement obert de la UPC |
| Idioma: | inglés |
| OAI Identifier: | oai:upcommons.upc.edu:2099/13758 |
| Acceso en línea: | https://hdl.handle.net/2099/13758 |
| Access Level: | acceso abierto |
| Palabra clave: | Distribution (Probability theory) Asymptotic distribution Skewness singular information matrix Kurtosis maximum likelihood estimation Distribució (Teoria de la probabilitat) Classificació AMS::62 Statistics::62E Distribution theory Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica |
| Sumario: | 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. |
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