We develop estimating equations for the parameters of the base density of a skew-symmetric distribution. The method is based on an invariance property with respect to asymmetry. Various properties of this approach and the selection of a root are discussed. We also present several extensions of the methodology, namely to the regression setting, the multivariate case, and the skew-t distribution. The approach is illustrated on several simulations and a numerical example.
Invariance-based estimating equations for skew-symmetric distributions
AZZALINI, ADELCHI;SCARPA, BRUNO
2010
Abstract
We develop estimating equations for the parameters of the base density of a skew-symmetric distribution. The method is based on an invariance property with respect to asymmetry. Various properties of this approach and the selection of a root are discussed. We also present several extensions of the methodology, namely to the regression setting, the multivariate case, and the skew-t distribution. The approach is illustrated on several simulations and a numerical example.File in questo prodotto:
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