Skew normal distribution

In probability theory and statistics, the skew

Definition
Let denote the standard normal probability
density function

with the cumulative distribution function given by

Cumulative distribution function

Parameters location (real)

CDF

is Owen's T function
Mean
where

Mode
 Variance

Skewness

Ex.
kurtosis

MGF

CF

where "erf" is the error function. Then the probability density function (pdf) of the skew-normal
distribution with parameter is given by

This distribution was first introduced by O'Hagan and Leonard (1976).[1] Alternative forms to this
distribution, with the corresponding quantile function, have been given by Ashour and Abdel-Hamid[2] and
by Mudholkar and Hutson.[3]

A stochastic process that underpins the distribution was described by Andel, Netuka and Zvara (1984).[4]
Both the distribution and its stochastic process underpinnings were consequences of the symmetry
argument developed in Chan and Tong (1986),[5] which applies to multivariate cases beyond normality,
e.g. skew multivariate t distribution and others. The distribution is a particular case of a general class of
distributions with probability density functions of the form where is any PDF
symmetric about zero and is any CDF whose PDF is symmetric about zero. [6]

To add location and scale parameters to this, one makes the usual transform . One can verify
that the normal distribution is recovered when , and that the absolute value of the skewness increases
as the absolute value of increases. The distribution is right skewed if and is left skewed if .
The probability density function with location , scale , and parameter becomes

The skewness ( ) of the distribution is limited to slightly less than the interval .

As has been shown,[7] the mode (maximum) of the distribution is unique. For general there is no
analytic expression for , but a quite accurate (numerical) approximation is:
where and

Estimation
Maximum likelihood estimates for , , and can be computed numerically, but no closed-form
expression for the estimates is available unless . In contrast, the method of moments has a closed-
form expression since the skewness equation can be inverted with

where and the sign of is the same as the sign of . Consequently, ,

, and where and are the mean and standard deviation. As long

as the sample skewness is not too large, these formulas provide method of moments estimates , , and
based on a sample's , , and .

The maximum (theoretical) skewness is obtained by setting in the skewness equation, giving
. However it is possible that the sample skewness is larger, and then cannot be
determined from these equations. When using the method of moments in an automatic fashion, for example
to give starting values for maximum likelihood iteration, one should therefore let (for example)
.

Concern has been expressed about the impact of skew normal methods on the reliability of inferences based
upon them.[8]

Related distributions
The exponentially modified normal distribution is another 3-parameter distribution that is a generalization of
the normal distribution to skewed cases. The skew normal still has a normal-like tail in the direction of the
skew, with a shorter tail in the other direction; that is, its density is asymptotically proportional to for
some positive . Thus, in terms of the seven states of randomness, it shows "proper mild randomness". In
contrast, the exponentially modified normal has an exponential tail in the direction of the skew; its density is
asymptotically proportional to . In the same terms, it shows "borderline mild randomness".

Thus, the skew normal is useful for modeling skewed distributions which nevertheless have no more
outliers than the normal, while the exponentially modified normal is useful for cases with an increased
incidence of outliers in (just) one direction.

See also
Generalized normal distribution
 Log-normal distribution

References
1. O'Hagan, A.; Leonard, Tom (1976). "Bayes estimation subject to uncertainty about parameter
constraints". Biometrika. 63 (1): 201–203. doi:10.1093/biomet/63.1.201 (https://doi.org/10.10
93%2Fbiomet%2F63.1.201). ISSN 0006-3444 (https://www.worldcat.org/issn/0006-3444).
2. Ashour, Samir K.; Abdel-hameed, Mahmood A. (October 2010). "Approximate skew normal
distribution" (https://doi.org/10.1016%2Fj.jare.2010.06.004). Journal of Advanced Research.
1 (4): 341–350. doi:10.1016/j.jare.2010.06.004 (https://doi.org/10.1016%2Fj.jare.2010.06.00
4). ISSN 2090-1232 (https://www.worldcat.org/issn/2090-1232).
3. Mudholkar, Govind S.; Hutson, Alan D. (February 2000). "The epsilon–skew–normal
distribution for analyzing near-normal data". Journal of Statistical Planning and Inference. 83
(2): 291–309. doi:10.1016/s0378-3758(99)00096-8 (https://doi.org/10.1016%2Fs0378-375
8%2899%2900096-8). ISSN 0378-3758 (https://www.worldcat.org/issn/0378-3758).
4. Andel, J., Netuka, I. and Zvara, K. (1984) On threshold autoregressive processes.
Kybernetika, 20, 89-106 (http://dml.cz/bitstream/handle/10338.dmlcz/124493/Kybernetika_2
0-1984-2_1.pdf)
5. Chan, K. S.; Tong, H. (March 1986). "A note on certain integral equations associated with
non-linear time series analysis". Probability Theory and Related Fields. 73 (1): 153–158.
doi:10.1007/bf01845999 (https://doi.org/10.1007%2Fbf01845999). ISSN 0178-8051 (https://
www.worldcat.org/issn/0178-8051). S2CID 121106515 (https://api.semanticscholar.org/Corp
usID:121106515).
6. Azzalini, A. (1985). "A class of distributions which includes the normal ones". Scandinavian
Journal of Statistics. 12: 171–178.
7. Azzalini, Adelchi; Capitanio, Antonella (2014). The skew-normal and related families.
pp. 32–33. ISBN 978-1-107-02927-9.
8. Pewsey, Arthur. "Problems of inference for Azzalini's skewnormal distribution." Journal of
Applied Statistics 27.7 (2000): 859-870 (http://www.tandfonline.com/doi/pdf/10.1080/026647
60050120542)

External links
The multi-variate skew-normal distribution with an application to body mass, height and
Body Mass Index (https://web.archive.org/web/20140801130104/http://biomet.oxfordjournal
s.org/content/83/4/715.full.pdf)
A very brief introduction to the skew-normal distribution (http://azzalini.stat.unipd.it/SN/Intro/i
ntro.html)
The Skew-Normal Probability Distribution (and related distributions, such as the skew-t) (htt
p://azzalini.stat.unipd.it/SN/)
OWENS: Owen's T Function (http://people.sc.fsu.edu/~burkardt/cpp_src/owens/owens.html)
Archived (https://web.archive.org/web/20100614071807/http://people.sc.fsu.edu/~burkardt/c
pp_src/owens/owens.html) 2010-06-14 at the Wayback Machine
Closed-skew Distributions - Simulation, Inversion and Parameter Estimation (http://dahoiv.n
et/master/index.html)

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