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 |
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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) |
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