Normal Variance-Mean Mixtures and z Distributions
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(only showing first 100 items - show all)- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
- Bootstrap confidence intervals for tail indices.
- An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
- Contaminated variance-mean mixing model
- Approximation and simulation of infinite-dimensional Lévy processes
- Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution
- Location and scale mixtures of Gaussians with flexible tail behaviour: properties, inference and application to multivariate clustering
- Risk parity for mixed tempered stable distributed sources of risk
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
- Conditional distributions of multivariate normal mean-variance mixtures
- An algebra of Stein operators
- Multi-stock portfolio optimization under prospect theory
- K-distributed vector random fields in space and time
- Semiparametric Gaussian variance-mean mixtures for heavy-tailed and skewed data
- Generalized Post-Widder inversion formula with application to statistics
- The horseshoe-like regularization for feature subset selection
- Convergence and inference for mixed Poisson random sums
- Aumann-Serrano index of risk in portfolio optimization
- Bayesian estimation for misclassification rate in linear discriminant analysis
- Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution
- Conditions on which cokriging does not do better than kriging
- Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios
- Stein's method in two limit theorems involving the generalized inverse Gaussian distribution
- Global-local mixtures: a unifying framework
- Additive logistic processes in option pricing
- Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
- A mixture of coalesced generalized hyperbolic distributions
- On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation
- Mean mixtures of normal distributions: properties, inference and application
- Variance-mean mixture of the multivariate skew normal distribution
- Cost-efficiency in multivariate Lévy models
- A general approach for obtaining wrapped circular distributions via mixtures
- On normal variance-mean mixtures
- A geometric interpretation of the transition density of a symmetric Lévy process
- Multivariate elliptical truncated moments
- Multiplying a Gaussian matrix by a Gaussian vector
- Bilateral gamma distributions and processes in financial mathematics
- On normal stable Tweedie models and power-generalized variance functions of only one component
- Family of mean-mixtures of multivariate normal distributions: properties, inference and assessment of multivariate skewness
- Modeling high-frequency non-homogeneous order flows by compound Cox processes
- Classes of infinitely divisible distributions and examples
- Models for stock returns
- On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws
- Quantile regression via the EM algorithm
- Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
- Hyperbolic vector random fields with hyperbolic direct and cross covariance functions
- Log-gamma-generated families of distributions
- On the size distribution of sand
- Student-like models for risky asset with dependence
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
- Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes
- Multifractal scenarios for products of geometric Lévy-based stationary models
- On convergence of the distributions of random sequences with independent random indexes to variance-mean mixtures
- Effective sample size for line transect sampling models with an application to marine macroalgae
- Stationary-increment Student and variance-gamma processes
- A note on functional limit theorems for compound Cox processes
- Bivariate beta-generated distributions with applications to well-being data
- A generalized normal mean-variance mixture for return processes in finance
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
- Probabilistic Formulation of Independent Vector Analysis Using Complex Gaussian Scale Mixtures
- On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
- Convolution mixtures of infinitely divisible distributions
- Normal scale mixtures and dual probability densities
- An alternative multivariate skew Laplace distribution: properties and estimation
- Pair correlation functions and limiting distributions of iterated cluster point processes
- Semiparametric estimation in the normal variance-mean mixture model
- A Stein characterisation of the generalized hyperbolic distribution
- Semi-parametric modelling in finance: theoretical foundations
- A semi-parametric approach to risk management
- Wasserstein-divergence transportation inequalities and polynomial concentration inequalities
- Bayesian estimation of NIG models via Markov chain Monte Carlo methods
- Mixed tempered stable distribution
- A Grassmann integral equation
- Statistical Skorohod embedding problem: optimality and asymptotic normality
- On The Uncertainty Relation for Positive-Definite Probability Densities, II
- Finite mixture approximation of CARMA(p,q) models
- Modified Pólya-Gamma data augmentation for Bayesian analysis of directional data
- Bayesian inference for zero-and-one-inflated geometric distribution regression model using Pólya-Gamma latent variables
- A structural approach to default modelling with pure jump processes
- A generalized class of skew distributions and associated robust quantile regression models
- Series representations for multivariate time-changed Lévy models
- Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis
- Building multivariate Sato models with linear dependence
- Aggregation of log-linear risks
- Portfolio return distributions: sample statistics with stochastic correlations
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- Prediction risk for the horseshoe regression
- Bayesian Inference for Logistic Models Using Pólya–Gamma Latent Variables
- Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
- Smile Asymptotics II: Models with Known Moment Generating Functions
- Identification of sparse FIR systems using a general quantisation scheme
- Variance-mean mixture of Kotz-type distributions
- Bayesian estimation and prediction for certain type of mixtures
- Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations
- Matrix variate generalized asymmetric Laplace distributions
- Horseshoe Regularisation for Machine Learning in Complex and Deep Models1
- On Families of Distributions with Shape Parameters
- ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
- Beyond Matérn: On A Class of Interpretable Confluent Hypergeometric Covariance Functions
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