C.2 Skewed normal alternative
The skewed-normal log-density is
∣ -2 log(2π) - log σ - u2, if y ≤ β;
log f (У ; β,σ,γ) = < 2
[ - 1 log(2 π ) - log σ + log(1 + γ ) - uγ, if y>β ;
where u = (y - β)/σ and uγ = u(1 + γ). The score function, evaluated at
Y = 0, is
(u∕σ
( u2 - 1)/σ
I(y > β)(u2 - 1)
Now let Fn be skewed normal with β = 0, σ = 1, and γn = e∕√n > 0.
Then, γоn = 0, and by the results of Appendix B.2,
β0 ,n = EFn ( Y ) = γnφ (0),
σ о ,n = 1+^2^+o ( γn ) '
It follows that
∖
I(Y>βо,n)} j
EFn [ s ( Y ; β0 ,n,σ 0 ,n, 0)] = -
0
o ( Yn ) .
EFn { [(Y-вП)2 - 1
The third element in parentheses is
∞ , Yn). - β0n ʌ 2 dφw - 1 + Φ(βоn)
∙M 0 ,n ∖ σ 0 ,n /
= (----—) (ββ0,nφ(β0,n) + 1 - ф(β0,n)-------2 0П ’ φ(β0,n) - 1
∖ σ 0 ,n J σ 0 ,n
+H β0 ,n ) + o ( γη )
- 2Yn (φ(0)) - 1 + Ф(β0,n)
= (1 + γn )( γn (φ (0)) +1 - Ф( β0 ,n ))
+O ( Yn )
= Yn (I - (φ(0))2) + 0(Yn)
= Yn ( π-β ) + 0 ( Yn ).
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