The information matrix of the bivariate extended skew-normal distribution

Stefano Franco () and Adelchi Azzalini ()
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Stefano Franco: Independent Consultant in Statistics, ML, and AI
Adelchi Azzalini: Università degli Studi di Padova

METRON, 2025, vol. 83, issue 2, No 4, 235-259

Abstract: Abstract For the extended skew-normal distribution, which represents an extension of the normal (or Gaussian) distribution, we focus on the properties of the log-likelihood function and derived quantities in the bivariate case. Specifically, we derive explicit expressions for the score function and the information matrix, in the observed and the expected form; these do not appear to have been examined before in the literature. Ensuing numerical work illustrates some relevant aspects of the expected information matrix.

Keywords: Extended skewnormal distribution; Multivariate non-normal distributions; Expected information matrix; Singularity of the information matrix (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s40300-024-00278-3

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