A suite of commands for fitting the skew-normal and skew-t models

Stata Journal

Volumn 10, Issue 4, 2010, Pages 507-539

  Marchenko, Yulia V ^a   Genton, Marc G ^b  

^a StataCorp   (United States)

^b TEXAS A AND M UNIVERSITY   (United States)

Author keywords

Distribution; Heavy tails; Mskewnreg; Mskewtreg; Nonnormal; Precipitation; Predict; Regression; Skew t; Skewness; Skewnormal; Skewnreg; Skewrplot; Skewtreg; st0207

Indexed keywords

EID: 78751627762     PISSN: 1536867X     EISSN: None     Source Type: Journal    
DOI: 10.1177/1536867x1101000401     Document Type: Article

References (24)

1. Arellano-Valle, R. B., and A. Azzalini. 2008. The centred parametrization for the multivariate skew-normal distribution. Journal of Multivariate Analysis 99:1362-1382.
2. -. 2009. Parameters and other summary quantities of the skew-t distribution. Manuscript in preparation.
3. Arnold, B. C., and R. J. Beaver. 2000. The skew-Cauchy distribution. Statistics & Probability Letters 49:285-290.
4. Azzalini, A. 1985. A class of distributions which includes the normal ones. Scandinavian Journal of Statistics 12:171-178.
5. -. 2005. The skew-normal distribution and related multivariate families (with discussion by Marc G. Genton and a rejoinder by the author). Scandinavian Journal of Statistics 32:159-200.
6. Azzalini, A., and A. Capitanio. 1999. Statistical applications of the multivariate skew normal distribution. Journal of the Royal Statistical Society, Series B 61:579-602.
7. -. 2003. Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution. Journal of the Royal Statistical Society, Series B 65:367-389.
8. Azzalini, A., T. dal Cappello, and S. Kotz. 2002. Log-skew-normal and log-skew-t distributions as models for family income data. Journal of Income Distribution 11:12-20.
9. Azzalini, A., and A. Dalla Valle. 1996. The multivariate skew-normal distribution. Biometrika 83:715-726.
10. Azzalini, A., and M. G. Genton. 2008. Robust likelihood methods based on the skew-t and related distributions. International Statistical Review 76:106-129.
11. Bayes, C. L., and M. D. Branco. 2007. Bayesian inference for the skewness parameter of the scalar skew-normal distribution. Brazilian Journal of Probability and Statistics 21:141-163.
12. Branco, M. D., and D. K. Dey. 2001. A general class of multivariate skew-elliptical distributions. Journal of Multivariate Analysis 79:99-113.
13. Cook, R. D., and S. Weisberg. 1994. An Introduction to Regression Graphics. New York: Wiley.
14. Cox, N. J. 2010. Speaking Stata: The statsby strategy. Stata Journal 10:143-151.
15. Dalla Valle, A. 2007. A test for the hypothesis of skew-normality in a population. Journal of Statistical Computation and Simulation 77:63-77.
16. DiCiccio, T. J., and A. C. Monti. 2009. Inferential aspects of the skew-t distribution. Manuscript in preparation.
17. Genton, M. G., ed. 2004. Skew-Elliptical Distributions and Their Applications: A Journey Beyond Normality. Boca Raton, FL: Chapman & Hall/CRC.
18. Gutierrez, R. G., S. Carter, and D. M. Drukker. 2001. sg160: On boundary-value likelihood-ratio tests. Stata Technical Bulletin 60:15-18.
19. Reprinted in Stata Technical Bulletin Reprints, vol. 10, pp. 269-273. College Station, TX: Stata Press.
20. Hallin, M., and C. Ley. Forthcoming. Skew-symmetric distributions and Fisher information-A tale of two densities. Bernoulli.
21. Ley, C., and D. Paindaveine. 2010. On the singularity of multivariate skew-symmetric models. Journal of Multivariate Analysis 101:1434-1444.
22. Liseo, B., and N. Loperfido. 2006. A note on reference priors for the scalar skew-normal distribution. Journal of Statistical Planning and Inference 136:373-389.
23. Marchenko, Y. V., and M. G. Genton. 2010. Multivariate log-skew-elliptical distributions with applications to precipitation data. Environmetrics 21:318-340.
24. Sartori, N. 2006. Bias prevention of maximum likelihood estimates for scalar skew normal and skew t distributions. Journal of Statistical Planning and Inference 136:4259-4275.