Extending the multivariate generalised t and generalised VG distributions

DOI10.1016/J.JMVA.2009.06.006MaRDI QIDQ1041071zbMATH OpenOpenAlexFDO

Authors Thomas Fung, Eugene Seneta

Publication date 27 November 2009

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2009.06.006

zbMATH Keywords

dualityexponential power distributionsgeneralized hyperbolic distributionsgeneralized t distributionsvariance-gamma distributions

Mathematics Subject Classification ID

Applications of hypergeometric functions (33C90) Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• A characterisation of scale mixtures of the uniform distribution
• A Generalization of the Gamma Distribution
• A multivariate generalization of the power exponential family of distributions
• A multivariate jump-driven financial asset model
• A new class of multivariate distributions: scale mixture of Kotz-type distributions
• Duality between matrix variate \(t\) and matrix variate V.G. distributions
• Family of multivariate generalized \(t\) distributions
• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 48335 (Why is no real title available?)
• Multivariate stable distributions
• Robust Location and Scale Estimation Based on the Univariate Generalizedt(GT) Distribution
• SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING
• Statistical properties of the generalized inverse Gaussian distribution
• Subordinated market index models: A comparison
• The distribution of the product and quotient for powers of two independent generalized gamma varieties
• The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models
• Variance-mean mixture of Kotz-type distributions

Cited in

(11)

• Matérn class tensor-valued random fields and beyond
• Family of multivariate generalized \(t\) distributions
• A generalized hyperbolic model for a risky asset with dependence
• Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
• Symmetric Gaussian mixture distributions with GGC scales
• Multivariate skew-normal generalized hyperbolic distribution and its properties
• Duality between matrix variate \(t\) and matrix variate V.G. distributions
• Inference procedures for the variance gamma model and applications
• Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions
• The generalized T Birnbaum-Saunders family

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