On normal variance-mean mixtures
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Publication:2374585
DOI10.1016/J.SPL.2016.07.024zbMATH Open1375.60052OpenAlexW2963380886MaRDI QIDQ2374585FDOQ2374585
Authors: Yaming Yu 
Publication date: 15 December 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: Normal variance-mean mixtures encompass a large family of useful distributions such as the generalized hyperbolic distribution, which itself includes the Student t, Laplace, hyperbolic, normal inverse Gaussian, and variance gamma distributions as special cases. We study shape properties of normal variance-mean mixtures, in both the univariate and multivariate cases, and determine conditions for unimodality and log-concavity of the density functions. This leads to a short proof of the unimodality of all generalized hyperbolic densities. We also interpret such results in practical terms and discuss discrete analogues.
Full work available at URL: https://arxiv.org/abs/1106.2333
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Cited In (19)
- On Pólya mixtures of multivariate Gaussian distributions
- Standard errors of fitted component means of normal mixture
- Reach of repulsion for determinantal point processes in high dimensions
- Normal variance mixtures: distribution, density and parameter estimation
- CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
- Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations
- Contaminated variance-mean mixing model
- On bounds for the mode and median of the generalized hyperbolic and related distributions
- A CLASSICAL INVARIANCE APPROACH TO THE NORMAL MIXTURE PROBLEM
- Some properties of the multivariate generalized hyperbolic laws
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- Generalized bounds for active subspaces
- Multiplying a Gaussian matrix by a Gaussian vector
- The properties of statistics of the mean-mixture of normal distributions
- Antistarshapedness, dispersiveness and mixtures
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