The bivariate alpha-skew-normal distribution

Francisco Louzada, Anderson Ara and Guilherme Fernandes

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 14, 7147-7156

Abstract: In this paper, we propose a new bivariate distribution, namely bivariate alpha-skew-normal distribution. The proposed distribution is very flexible and capable of generalizing the univariate alpha-skew-normal distribution as its marginal component distributions; it features a probability density function with up to two modes and has the bivariate normal distribution as a special case. The joint moment generating function as well as the main moments are provided. Inference is based on a usual maximum-likelihood estimation approach. The asymptotic properties of the maximum-likelihood estimates are verified in light of a simulation study. The usefulness of the new model is illustrated in a real benchmark data.

Date: 2017
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DOI: 10.1080/03610926.2015.1024865

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