Abstract
In this article, a skewness parameter to a gamma distribution is introduced using an idea of Azzalini, which creates a new class of weighted gamma distributions. This new distribution has a probability density function with skewness representing a general case of weighted probability density function of the chi-square distribution, Erlang distribution, MaxwellBoltzmann distribution or skew-logistic distribution. It is observed that this distribution can also be obtained by hidden truncation. Different properties of this new distribution are discussed and the inference of the old parameters and the skewness parameter is studied.
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