Statistical applications of the multivariate skew-normal distribution

Understand

Azzalini & Dalla Valle (1996) have recently discussed the multivariate skew-normal distribution which extends the class of normal distributions by the addition of a shape parameter.

• The first part of the present paper examines further probabilistic properties of the distribution, with special emphasis on aspects of statistical relevance.
• Inferential and other statistical issues are discussed in the following part, with applications to some multivariate statistics problems, illustrated by numerical examples.
• Finally, a further extension is described which introduces a skewing factor of an elliptical density.