Adelchi Azzalini

Applied smoothing techniques for data analysis : the kernel approach with S-plus illustrations

1. Density estimation for exploring data 2. Density estimation for inference 3. Nonparametric regression for exploring data 4. Inference with nonparametric regression 5. Checking parametric regression models 6. Comparing regression curves and surfaces 7. Time series data 8. An introduction to semiparametric and additive models References

Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution

Summary. A fairly general procedure is studied to perturb a multivariate density satisfying a weak form of multivariate symmetry, and to generate a whole set of non-symmetric densities. The approach is sufficiently general to encompass some recent proposals in the literature, variously related to the skew normal distribution. The special case of skew elliptical densities is examined in detail, establishing connections with existing similar work. The final part of the paper specializes further to a form of multivariate skew t-density. Likelihood inference for this distribution is examined, and it is illustrated with numerical examples.

Statistical applications of the multivariate skew normal distribution

Azzalini and Dalla Valle have recently discussed the multivariate skew normal distribution which extends the class of normal distributions by the addition of a shape parameter. The first part of the present paper examines further probabilistic properties of the distribution, with special emphasis on aspects of statistical relevance. Inferential and other statistical issues are discussed in the following part, with applications to some multivariate statistics problems, illustrated by numerical examples. Finally, a further extension is described which introduces a skewing factor of an elliptical density.

Skewed multivariate models related to hidden truncation and/or selective reporting

The univariate skew-normal distribution was introduced by Azzalini in 1985 as a natural extension of the classical normal density to accommodate asymmetry. He extensively studied the properties of this distribution and in conjunction with coauthors, extended this class to include the multivariate analog of the skew-normal. Arnold et al. (1993) introduced a more general skew-normal distribution as the marginal distribution of a truncated bivariate normal distribution in whichX was retained only ifY satisfied certain constraints. Using this approach more general univariate and multivariate skewed distributions have been developed. A survey of such models is provided together with discussion of related inference questions.

A look at some data on the old faithful geyser

An analysis of data on the duration times and waiting times for eruptions from the Old Faithful Geyser reveals an interesting time series structure. A tentative physical model, derived from Rinehart, is outlined and a corresponding first‐order Markov chain examined. It is shown that a second‐order model is necessary to explain the observed correlations in the data. A curious clustering effect is apparent in the autocorrelation function when plotted over a large range of lags. Similar patterns are observed in simulations from the fitted second‐order model.

Clustering via nonparametric density estimation

Although Hartigan (1975) had already put forward the idea of connecting identification of subpopulations with regions with high density of the underlying probability distribution, the actual development of methods for cluster analysis has largely shifted towards other directions, for computational convenience. Current computational resources allow us to reconsider this formulation and to develop clustering techniques directly in order to identify local modes of the density. Given a set of observations, a nonparametric estimate of the underlying density function is constructed, and subsets of points with high density are formed through suitable manipulation of the associated Delaunay triangulation. The method is illustrated with some numerical examples.

Testing for a deficit in single-case studies : Effects of departures from normality

In neuropsychological single-case research inferences concerning a patients cognitive status are often based on referring the patients test score to those obtained from a modestly sized control sample. Two methods of testing for a deficit (z and a method proposed by Crawford and Howell [Crawford, J. R. & Howell, D. C. (1998). Comparing an individuals test score against norms derived from small samples. The Clinical Neuropsychologist, 12, 482-486]) both assume the control distribution is normal but this assumption will often be violated in practice. Monte Carlo simulation was employed to study the effects of leptokurtosis and the combination of skew and leptokurtosis on the Type I error rates for these two methods. For Crawford and Howells method, leptokurtosis produced only a modest inflation of the Type I error rate when the control sample N was small-to-modest in size and error rates were lower than the specified rates at larger N. In contrast, the combination of leptokurtosis and skew produced marked inflation of error rates for small Ns. With a specified error rate of 5%, actual error rates as high as 14.31% and 9.96% were observed for z and Crawford and Howells method respectively. Potential solutions to the problem of non-normal data are evaluated.

Graphical models for skew-normal variates

This paper explores the usefulness of the multivariate skew-normal distribution in the context of graphical models. A slight extension of the family recently discussed by Azzalini & Dalla Valle (1996) and Azzalini & Capitanio (1999) is described, the main motivation being the additional property of closure under conditioning. After considerations of the main probabilistic features, the focus of the paper is on the construction of conditional independence graphs for skew-normal variables. Necessary and sufficient conditions for conditional independence are stated, and the admissible structures of a graph under restriction on univariate marginal distribution are studied. Finally, parameter estimation is considered. It is shown how the factorization of the likelihood function according to a graph can be rearranged in order to obtain a parameter based factorization.

An advancement in clustering via nonparametric density estimation

Density-based clustering methods hinge on the idea of associating groups to the connected components of the level sets of the density underlying the data, to be estimated by a nonparametric method. These methods claim some desirable properties and generally good performance, but they involve a non-trivial computational effort, required for the identification of the connected regions. In a previous work, the use of spatial tessellation such as the Delaunay triangulation has been proposed, because it suitably generalizes the univariate procedure for detecting the connected components. However, its computational complexity grows exponentially with the dimensionality of data, thus making the triangulation unfeasible for high dimensions. Our aim is to overcome the limitations of Delaunay triangulation. We discuss the use of an alternative procedure for identifying the connected regions associated to the level sets of the density. By measuring the extent of possible valleys of the density along the segment connecting pairs of observations, the proposed procedure shifts the formulation from a space with arbitrary dimension to a univariate one, thus leading benefits both in computation and visualization.

On Gauss’s characterization of the normal distribution

Consider the following problem: if the maximum likelihood estimate of a location parameter of a population is given by the sample mean, is it true that the distribution is of normal type? The answer is positive and the proof was provided by Gauss, albeit without using the likelihood terminology. We revisit this result in a modern context and present a simple and rigorous proof. We also consider extensions to a ^-dimensional population and to the case with a parameter additional to that of location.