Asymptotic normality of estimators for parameters of a multivariate skew-normal distribution |
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| Authors: | Tõnu Kollo Anne Selart |
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| Affiliation: | Institute of Mathematics and Statistics, University of Tartu, Tartu, Estonia |
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| 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. |
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| Keywords: | Asymptotic normality multivariate cumulants multivariate moments, multivariate skewness skew-normal distribution. |
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