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TEST

, Volume 28, Issue 2, pp 475–498 | Cite as

A stochastic ordering based on the canonical transformation of skew-normal vectors

  • Jorge M. ArevalilloEmail author
  • Hilario Navarro
Original Paper

Abstract

In this paper, we define a new skewness ordering that enables stochastic comparisons for vectors that follow a multivariate skew-normal distribution. The new ordering is based on the canonical transformation associated with the multivariate skew-normal distribution and on the well-known convex transform order applied to the only skewed component of such canonical transformation. We examine the connection between the proposed ordering and the multivariate convex transform order studied by Belzunce et al. (TEST 24(4):813–834, 2015). Several standard skewness measures like Mardia’s and Malkovich–Afifi’s indices are revisited and interpreted in connection with the new ordering; we also study its relationship with the J-divergence between skew-normal and normal random vectors and with the Negentropy. Some artificial data are used in simulation experiments to illustrate the theoretical discussion; a real data application is provided as well.

Keywords

Skew-normal distribution Canonical transformation Convex transform order 

Mathematics Subject Classification

60E05 62H05 

Notes

Acknowledgements

The authors wish to thank the reviewers for helpful comments that enriched the paper.

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Copyright information

© Sociedad de Estadística e Investigación Operativa 2018

Authors and Affiliations

  1. 1.Department of Statistics, Operational Research and Numerical AnalysisUniversity Nacional Educación a Distancia (UNED)MadridSpain

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