Abstract
The skew normal (SN) distribution of Azzalini (Scand J Stat 12:171–178, 1985) is one of the widely used probability distributions for modelling skewed data. In this article, we introduce a general class of skewed distributions based on mean mixtures of normal distributions, which includes the SN distribution as a special case. Some properties of this new class, such as expressions for mean, variance, skewness and kurtosis coefficients and characteristic function, are derived. Also, estimates of the model parameters are first obtained by the method of moments. Two special cases of this new class are studied in detail. It is shown that the range of skewness and kurtosis coefficients for the special cases is wider than that of the SN distribution, and in addition, unlike the SN distribution, one of these models is an infinitely divisible distribution. For carrying out the maximum likelihood (ML) estimation, an ECM algorithm is developed. This algorithm is analytically simple because closed-form expressions of conditional expectations in the E-step as well as the updating estimators in the CM-step are in explicit form. The observed information matrix is provided for approximating the asymptotic covariance matrix of the ML estimators of the parameters. The usefulness of the proposed distribution is illustrated through simulated as well as two real data sets. Next, a new extension of regression models is constructed by assuming the proposed distributions for the error term. Finally, a multivariate version of the proposed model is discussed.
Similar content being viewed by others
References
Akaike H (1974) A new look at the statistical model identification. IEEE Trans Autom Control 19:716–723
Arnold BC, Beaver RJ, Groeneveld RA, Meeker WQ (1993) The nontruncated marginal of a truncated bivariate normal distribution. Psychometrika 58:471–488
Arellano-Valle RB, Azzalini A (2006) On the unification of families of skew-normal distributions. Scand J Stat 33:561–574
Arslan O (2015) Variance-mean mixture of the multivariate skew normal distribution. Stat Pap 56:353–378
Athayde E, Azevedo A, Barros M, Leiva V (2018) Failure rate of Birnbaum-Saunders distributions: shape, change-point, estimation and robustness. Braz J Probab Statist (to appear)
Azzalini A (1985) A class of distributions which includes the normal ones. Scand J Stat 12:171–178
Azzalini A (1986) Further results on a class of distributions which includes the normal ones. Statistica 46:199–208
Azzalini A (2005) The skew-normal distribution and related multivariate families. Scand J Stat 32:159–188
Azzalini A, Capitanio A (1999) Statistical applications of the multivariate skew normal distribution. J R Stat Soc Ser B 61:579–602
Azzalini A, Capitanio A (2003) Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution. J R Stat Soc Ser B 65:367–389
Azzalini A, Capitanio A (2014) The skew-normal and related families. Cambridge University Press, Cambridge
Azzalini A, Dalla Valle A (1996) The multivariate skew-normal distribution. Biometrika 83:715–726
Barndorff-Nielsen O, Kent J, Sørensen M (1982) Normal variance-mean mixtures and z distributions. Int Stat Rev 50:145–159
Behboodian J, Jamalizadeh A, Balakrishnan N (2006) A new class of skew-Cauchy distributions. Stat Probab Lett 76:1488–1493
Branco MD, Dey DK (2001) A general class of multivariate skew-elliptical distributions. J Multivar Anal 79:99–113
Chandra NK, Roy D (2001) Some results on reverse hazard rate. Probab Eng Inf Sci 15:95–102
Dey S, Alzaatreh A, Zhang C, Kumar D (2017) A new extension of generalized exponential distribution with application to ozone data. Ozone Sci Eng 39:273–285
Dominguez-Molina JA, Rocha-Artega A (2007) On the infinite divisibility of some skewed symmetric distributions. Stat Probab Lett 77:644–648
Gupta PL, Brown N (2001) Reliability studies of skew normal distribution and its application to a strength-stress model. Commun Stat-Theory Methods 30:2427–2445
Gupta RC, Balakrishnan N (2012) Log-concavity and monotonicity of hazard and reversed hazard functions of univariate and multivariate skew-normal distributions. Metrika 75:181–191
Henze N (1986) A probabilistic representation of the skew-normal distribution. Scand J Stat 13:271–275
Jamalizadeh A, Lin TI (2017) A general class of scale-shape mixtures of skew-normal distributions: properties and estimation. Comput Stat 32:451–474
Kalambet Y, Kozmin Y, Mikhailova K, Nagaev I, Tikhonov P (2011) Reconstruction of chromatographic peaks using the exponentially modified Gaussian function. J Chemom 25:352–356
Krupskii P, Huser R, Genton MG (2018) Factor copula models for replicated spatial data. J Am Stat Assoc 113:467–479
Kozubowski TJ, Nolan JP (2008) Infinite divisibility of skew Gaussian and Laplace laws. Stat Probab Lett 78:654–660
Lee SX, McLachlan GJ (2013) On mixtures of skew-normal and skew \(t\)-distributions. Adv Data Anal Classif 7:241–266
Lin TI, Lee JC, Yen SY (2007) Finite mixture modelling using the skew normal distribution. Statistica Sinica 17:909–927
Louis TA (1982) Finding the observed information when using the EM algorithm. J R Stat Soc Ser B 44:226–232
Meng XL, Rubin DB (1993) Maximum likelihood estimation via the ECM algorithm: a general framework. Biometrika 80:267–278
Meng XL, Rubin DB (1991) Using EM to obtain asymptotic variance-covariance matrices: the SEM algorithm. J Am Stat Assoc 86:899–909
Meeusen W, van den Broeck J (1977) Efficiency estimation from Cobb–Douglas production functions with composed error. Int Econ Rev 18:435–444
Nadarajah S, Kotz S (2003) Skewed distributions generated by the normal kernel. Stat Probab Lett 65:269–277
Sadreazami H, Omair Ahmad M, Swamy MNS (2016) A study on image denoising in contourlet domain using the alpha-stable family of distributions. Signal Process 128:459–473
Silver JD, Ritchie ME, Smyth GK (2009) Microarray background correction: maximum likelihood estimation for the normal-exponential convolution. Biostatistics 10:352–363
Steutel FW, Van Harn K (2003) Infinite divisibility of probability distributions on the real line. Marcel Dekker, New York
Vilca F, Santana L, Leiva V, Balakrishnan N (2011) Estimation of extreme percentiles in Birnbaum–Saunders distributions. Comput Stat Data Anal 55:1665–1678
Weisberg S (2014) Computing primer for applied linear regression, 4th edn, Using R. http://z.umn.edu/alrprimer
Acknowledgements
We gratefully acknowledge the incisive comments and suggestions of the Chief Editor, the Associate Editor and two anonymous referees, which led to this greatly improved version of the article.
Author information
Authors and Affiliations
Corresponding author
Electronic supplementary material
Below is the link to the electronic supplementary material.
Rights and permissions
About this article
Cite this article
Negarestani, H., Jamalizadeh, A., Shafiei, S. et al. Mean mixtures of normal distributions: properties, inference and application. Metrika 82, 501–528 (2019). https://doi.org/10.1007/s00184-018-0692-x
Received:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s00184-018-0692-x