Skew-symmetric distributions and Fisher information
| dc.contributor.author | Hallin, Marc | |
| dc.contributor.author | Ley, Christophe | |
| dc.date.accessioned | 2012-09-26T13:02:23Z | |
| dc.date.available | 2012-09-26T13:02:23Z | |
| dc.date.issued | 2012-09-26 | |
| dc.description.abstract | Hallin and Ley (2012) investigate and fully characterize the Fisher singularity phenomenon in univariate and multivariate families of skew-symmetric distributions. This paper proposes a refined analysis of the (univariate) Fisher degeneracy problem, showing that it can be more or less severe, inducing n1/4 (“simple singularity”), n1/6 (“double singularity”), or n1/8 (“triple singularity”) consistency rates for the skewness parameter. We show, however, that simple singularity (yielding n1/4 consistency rates), if any singularity at all, is the rule, in the sense that double and triple singularities are possible for generalized skew-normal families only. We also show that higher-order singularities, leading to worse-than-n1/8 rates, cannot occur. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/29644 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-10367 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB 823;37/2012 | |
| dc.subject | Consistency rates | en |
| dc.subject | Singular Fisher information | en |
| dc.subject | Skewing function | en |
| dc.subject | Skew-normal distributions | en |
| dc.subject | Skew-symmetric distributions | en |
| dc.subject | Symmetric kernel | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | Skew-symmetric distributions and Fisher information | en |
| dc.title.alternative | The double sin of the skew-normal | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access |