Abstract

The Azzalini [A. Azzalini, A class of distributions which includes the normal ones, Scandi. J. Statist. 12 (1985), pp. 171-178.] skew normal model can be viewed as one involving normal components subject to a single linear constraint.As a natural extension of this model, we discuss skewed models involving multiple linear and nonlinear constraints and possibly non-normal components. Particular attention is devoted to a distribution called the extended two-piece normal (ETN) distribution. This model is a two-constraint extension of the two-piece normal model introduced by Kim [H.J. Kim, On a class of two-piece skew normal distributions, Statistics 39(6) (2005), pp. 537-553.]. Likelihood inference for the ETN distribution is developed and illustrated using two data sets. © 2009 Taylor & Francis.