A formulation for continuous mixtures of multivariate normal distributions

DOI10.1016/J.JMVA.2021.104780zbMATH Open1476.62097arXiv2003.13076OpenAlexW3167418790MaRDI QIDQ2048124FDOQ2048124

Authors: Reinaldo B. Arellano-Valle, Adelchi Azzalini 

Publication date: 5 August 2021

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

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.

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

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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) Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited In (5)

• Uniform Correlation Mixture of Bivariate Normal Distributions and Hypercubically Contoured Densities That Are Marginally Normal
• On normal variance-mean mixtures
• Bayesian inference and prediction for mean-mixtures of normal distributions
• Title not available (Why is that?)
• Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes

Uses Software

• sn
• QRM

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