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On Fisher information matrices and profile log-likelihood functions in generalized skew-elliptical models

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  • Christophe Ley
  • Davy Paindaveine

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  • Christophe Ley & Davy Paindaveine, 2010. "On Fisher information matrices and profile log-likelihood functions in generalized skew-elliptical models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 235-250.
    • Handle: RePEc:mtn:ancoec:100302
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    References listed on IDEAS

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    1. Marc Genton & Nicola Loperfido, 2005. "Generalized skew-elliptical distributions and their quadratic forms," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(2), pages 389-401, June.
    2. Matteo Bottai, 2003. "Confidence regions when the Fisher information is zero," Biometrika, Biometrika Trust, vol. 90(1), pages 73-84, March.
    3. Ley, Christophe & Paindaveine, Davy, 2010. "On the singularity of multivariate skew-symmetric models," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1434-1444, July.
    4. Branco, Márcia D. & Dey, Dipak K., 2001. "A General Class of Multivariate Skew-Elliptical Distributions," Journal of Multivariate Analysis, Elsevier, vol. 79(1), pages 99-113, October.
    5. DiCiccio T.J. & Monti A.C., 2004. "Inferential Aspects of the Skew Exponential Power Distribution," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 439-450, January.
    6. Adelchi Azzalini & Marc G. Genton, 2008. "Robust Likelihood Methods Based on the Skew‐t and Related Distributions," International Statistical Review, International Statistical Institute, vol. 76(1), pages 106-129, April.
    7. Adelchi Azzalini & Antonella Capitanio, 2003. "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t‐distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 367-389, May.
    8. Paindaveine, Davy, 2008. "A canonical definition of shape," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2240-2247, October.
    9. Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2008. "The centred parametrization for the multivariate skew-normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 99(7), pages 1362-1382, August.
    10. Monica Chiogna, 2005. "A note on the asymptotic distribution of the maximum likelihood estimator for the scalar skew-normal distribution," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 14(3), pages 331-341, December.
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    Cited by:

    1. Christophe Ley & Anouk Neven, 2013. "Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation," Working Papers ECARES ECARES 2013-26, ULB -- Universite Libre de Bruxelles.
    2. Loperfido, Nicola, 2014. "Linear transformations to symmetry," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 186-192.
    3. Wang, Sheng & Zimmerman, Dale L. & Breheny, Patrick, 2020. "Sparsity-regularized skewness estimation for the multivariate skew normal and multivariate skew t distributions," Journal of Multivariate Analysis, Elsevier, vol. 179(C).
    4. Kahrari, F. & Rezaei, M. & Yousefzadeh, F. & Arellano-Valle, R.B., 2016. "On the multivariate skew-normal-Cauchy distribution," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 80-88.
    5. Thomas J. DiCiccio & Anna Clara Monti, 2018. "Testing for sub-models of the skew t-distribution," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(1), pages 25-44, March.
    6. Christophe Ley, 2014. "Flexible Modelling in Statistics: Past, present and Future," Working Papers ECARES ECARES 2014-42, ULB -- Universite Libre de Bruxelles.
    7. Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2013. "The centred parameterization and related quantities of the skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 73-90.

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