A Flexible Skew-Generalized Normal Distribution

In this paper, we consider a flexible skew-generalized normal distribution. This distribution is denoted by $FSGN(/lambda _1, /lambda _2; /theta)$. It contains the normal, skew-normal (Azzalini, 1985), skew generalized normal (Arellano-Valle et al., 2004) and skew flexible-normal (Gomez et al., 2011) distributions as special cases. Some important properties of this distribution are established. Also, the practical usefulness of FSGN is illustrated via a well known real data set.