The multivariate alpha-power model

The main object of this paper is to propose a multivariate extension to the alpha-power model which is an alternative to the multivariate skew-normal model (Arellano-Valle and Azzalini, 2008). It also extends the power-normal model discussed in Gupta and Gupta (2008) by making it more flexible. Inference is dealt with by using the likelihood approach and a pseudo-likelihood approach based on conditional distributions which, although slightly less efficient, is simpler to implement. An application to a real data set is used to demonstrate the usefulness of the extension.

► Consider a new multivariate skew model based on an extension of the alpha-power distribution. ► Inference approaches based on full likelihood and pseudo-likelihood approaches are investigated. ► An application is considered to a data set that show better fit to the bivariate alpha-power model than those studied earlier.