A formulation for continuous mixtures of multivariate normal distributions

DOI10.1016/J.JMVA.2021.104780MaRDI QIDQ2048124zbMATH OpenOpenAlexFDO

Authors Reinaldo B. Arellano-Valle, Adelchi Azzalini

Publication date 5 August 2021

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

Full work available at URL https://arxiv.org/abs/2003.13076

zbMATH Keywords

continuous mixtures of normal distributionsMardia's measures of multivariate skewness and kurtosisvariance-mean mixtures of distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10)

Abstract: Several formulations have long existed in the literature in the form of continuous mixtures of normal variables where a mixing variable operates on the mean or on the variance or on both the mean and the variance of a multivariate normal variable, by changing the nature of these basic constituents from constants to random quantities. More recently, other mixture-type constructions have been introduced, where the core random component, on which the mixing operation operates, is not necessarily normal. The main aim of the present work is to show that many existing constructions can be encompassed by a formulation where normal variables are mixed using two univariate random variables. For this formulation, we derive various general properties. Within the proposed framework, it is also simpler to formulate new proposals of parametric families and we provide a few such instances. At the same time, the exposition provides a review of the theme of normal mixtures.

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Cited in

(9)

• On normal variance-mean mixtures
• Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes
• scientific article; zbMATH DE number 954498 (Why is no real title available?)
• Uniform Correlation Mixture of Bivariate Normal Distributions and Hypercubically Contoured Densities That Are Marginally Normal
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