The information matrix of the bivariate extended skew-normal distribution
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For the extended skew-normal distribution, which represents an extension of the normal (or Gaussian) distribution, we focus on the properties of the log-likelihood function and derived quantities in the the bivariate case. Specifically, we derive explicit expressions for the score function and the information matrix, in the observed and the expected form; these do not appear to have been examined before in the literature. Corresponding computing code in R language is provided, which implements the formal expressions.
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