Abstract
A new class of skew generalized normal distribution as a generalization of the skew-normal distribution of Arellano-Valle (Commun. Statist. Theor. Meth., 2004) and Kumar and Anusree (Commun. Statist. Theor. Meth., 2015) are considered. Several statistical properties of the proposed class of distributions are investigated and the location-scale extension of the model is obtained. Further, the estimation of its parameters by the method of maximum likelihood estimation is discussed and the distribution has been fitted to specific real-life data sets to illustrate the model’s usefulness. In addition, a brief simulation study is conducted for examining the performance of likelihood estimators of the parameters of the proposed model.
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