The Extended Half-Skew Normal Distribution

Abstract

A new class of densities for modelling non-negative data, which is based on the skewsymmetric family of distributions proposed by Azzalini is introduced.We focus on the model generated by the skew-normal distribution, called Extended Half Skew-Normal distribution. Its relevant properties are studied. These are pdf, cdf, moments, mgf, and stochastic representation. The parameters are estimated by moment and maximum likelihood methods. A simulation study to assess the performance of the maximum likelihood estimators in finite samples was carried out. Two real applications are included, in which the EHSN provides a better fit than other proposals in the literature.