Asymptotic normality of estimators for parameters of a multivariate skew-normal distribution

Tõnu Kollo, Meelis Käärik and Anne Selart

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 15, 3640-3655

Abstract: In this paper, asymptotic normality is established for the parameters of the multivariate skew-normal distribution under two parametrizations. Also, an analytic expression and an asymptotic normal law are derived for the skewness vector of the skew-normal distribution. The estimates are derived using the method of moments. Convergence to the asymptotic distributions is examined both computationally and in a simulation experiment.

Date: 2018
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DOI: 10.1080/03610926.2017.1361985

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