Summary
This paper presents some inferential results about the extended skew-normal family in the scalar case. For this family many inferential aspects are still unexplored. The expected information matrix is obtained and some of its properties are discussed. Some simulation experiments and an application to real data are presented pointing out not infrequent estimation problems such as different estimates in function of the starting values of the algorithm which leads to substantially equivalents densities. All these issues underline a problem of near unidentifiability.
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Canale, A. Statistical aspects of the scalar extended skew-normal distribution. METRON 69, 279–295 (2011). https://doi.org/10.1007/BF03263562
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DOI: https://doi.org/10.1007/BF03263562