Abstract #301144

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JSM 2003 Abstract #301144
Activity Number: 477
Type: Contributed
Date/Time: Thursday, August 7, 2003 : 10:30 AM to 12:20 PM
Sponsor: Section on Physical and Engineering Sciences
Abstract - #301144
Title: A Class of Skew-normal Processes
Author(s): Antonio F. Gualtierotti*+
Companies: IDHEAP
Address: Rte. de la Maladiere 21, Lausanne CH-1015, , , Switzerland
Keywords: skew-normal process ; equivalence ; linear space ; representation ; RKHS
Abstract:

Skew-normal variables and vectors where introduced by Azzalini (1985, 1996) to widen the scope of normal methods. As normal noises are paramount in statistical communication theory, skew-normal processes could similarly widen the scope of normal methods in that area. In this presentation a class of skew-normal processes shall be defined using an underlying normal process and its reproducing kernel Hilbert space. It shall be shown that the law of such a process is equivalent to that of the underlying normal and the likelihood shall be computed. The linear space of the process shall be characterized and prediction formulae exhibited. Finally, it shall be shown that, when the underlying process is the Wiener process, the associated skew-normal process has an explicit signal-plus-noise representation, the noise being a Wiener process with respect to the fields of the skew-normal process.

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