A note on the asymptotic distribution of the maximum likelihood estimator for the scalar skew-normal distribution

Monica Chiogna
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Monica Chiogna: University of Padova

Statistical Methods & Applications, 2005, vol. 14, issue 3, No 2, 341 pages

Abstract: Abstract. We consider likelihood based inference for the parameter of a skew-normal distribution. One of the problems shown by this model is the singularity of the Fisher information matrix when skewness is absent. We derive the rate of convergence to the asymptotic distribution of the maximum likelihood estimator and study an alternative parameterization which overcomes problems related to the singularity of the information matrix.

Keywords: singular Fisher information matrix; rate of convergence; reparameterization (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (15)

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DOI: 10.1007/s10260-005-0117-7

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