Local effect of asymmetry deviations from Gaussianity using information-based measures

In this paper local sensitivity measures are proposed to evaluate deviations from multivariate normality caused by asymmetry; the model we use to regulate asymmetry is the multivariate skew-normal distribution because it reflects the deviation in a very tractable way. The paper also examines the connection between local sensitivity and Mardia’s and Malkovich-Afifi’s skewness indices. Once the local sensitivity measures have been introduced, we study the effect of local perturbations in asymmetry on the conditional distributions; this issue has important implications because there are many procedures in statistics and other fields where the output depends on the distribution of some variables for known values of the others. The proposed measures use the Kullback-Leibler divergence to evaluate dissimilarities between probability distributions in order to assess deviation from normality on the joint distribution and on the marginal and conditional distributions as well. The results are illustrated with some examples