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On cross-validated estimation of skew normal model

Zhang, Jian and Wang, Tong (2024) On cross-validated estimation of skew normal model. [Preprint] (doi:arXiv:2401.13094v1) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:104708)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
https://arxiv.org/abs/2401.13094

Abstract

Skew normal model suffers from inferential drawbacks, namely singular Fisher information in the vicinity of symmetry and diverging of maximum likelihood estimation. To address the above drawbacks, Azzalini and Arellano-Valle (2013) introduced maximum penalised likelihood estimation (MPLE) by subtracting a penalty function from the log-likelihood function with a pre-specified penalty coefficient. Here, we propose a cross-validated MPLE to improve its performance when the underlying model is close to symmetry. We develop a theory for MPLE, where an asymptotic rate for the cross-validated penalty coefficient is derived. We further show that the proposed cross-validated MPLE is asymptotically efficient under certain conditions. In simulation studies and a real data application, we demonstrate that the proposed estimator can outperform the conventional MPLE when the model is close to symmetry.

Item Type: Preprint
DOI/Identification number: arXiv:2401.13094v1
Refereed: No
Name of pre-print platform: arXiv
Uncontrolled keywords: multifold cross-validation; skew normal distribution; maximum penalised likelihood estimator; asymptotics
Subjects: Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics
Divisions: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User: Jian Zhang
Date Deposited: 23 Jan 2024 21:34 UTC
Last Modified: 25 Jan 2024 09:24 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/104708 (The current URI for this page, for reference purposes)

University of Kent Author Information

Zhang, Jian.

Creator's ORCID: https://orcid.org/0000-0001-8405-2323
CReDIT Contributor Roles:

Wang, Tong.

Creator's ORCID:
CReDIT Contributor Roles:
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