Parameter estimation for univariate skew-normal distribution based on the modified empirical characteristic function
Journal article
Hou, Gege, Xu, Ancha, Cai, Fengjing and Wang, You-Gan. (2022). Parameter estimation for univariate skew-normal distribution based on the modified empirical characteristic function. Communications in Statistics - Theory and Methods. 51(22), pp. 7897-7910. https://doi.org/10.1080/03610926.2021.1883655
Authors | Hou, Gege, Xu, Ancha, Cai, Fengjing and Wang, You-Gan |
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Abstract | Parameter estimation for the skew-normal distribution is challenging, since the profile likelihood function of shape parameter has a stationary point at zero, which hampers the use of traditional methods, such as maximum likelihood method. We present a modified empirical characteristic function method to perform parameter estimation for the skew-normal distribution. The proposed approach is flexible and easy to implement. We show that the estimators converge to the true values in probability. The simulation study and data analysis suggest that the proposed method performs well, even for the case of small sample size. |
Keywords | skew-normal distribution; empirical characteristic function; M-estimator; bootstrap |
Year | 2022 |
Journal | Communications in Statistics - Theory and Methods |
Journal citation | 51 (22), pp. 7897-7910 |
Publisher | Taylor & Francis |
ISSN | 0361-0926 |
Digital Object Identifier (DOI) | https://doi.org/10.1080/03610926.2021.1883655 |
Scopus EID | 2-s2.0-85102739123 |
Page range | 7897-7910 |
Funder | National Natural Science Foundation of China (NSFC) |
Foundation of Zhejiang Province | |
Publisher's version | License All rights reserved File Access Level Controlled |
Output status | Published |
Publication dates | |
Online | 15 Mar 2021 |
Publication process dates | |
Accepted | 16 Jan 2021 |
Deposited | 07 Nov 2023 |
Grant ID | 11671303 |
LY19A010014 |
https://acuresearchbank.acu.edu.au/item/8zy5q/parameter-estimation-for-univariate-skew-normal-distribution-based-on-the-modified-empirical-characteristic-function
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