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A new class of skew-normal distributions. (English) Zbl 1134.60304
Summary: We introduce a new family of asymmetric normal distributions that contains Azzalini’s skew-normal (SN) distribution as a special case. We study the main properties of this new family, showing in particular that it may be generated via mixtures on the SN asymmetry parameter when the mixing distribution is normal. This property provides a Bayesian interpretation of the new family.

MSC:
60E05 Probability distributions: general theory
62E10 Characterization and structure theory of statistical distributions
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References:
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