On normal variance-mean mixtures

DOI10.1016/j.spl.2016.07.024zbMath1375.60052arXiv1106.2333OpenAlexW2963380886MaRDI QIDQ2374585

Yaming Yu

Publication date: 15 December 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.2333

zbMATH Keywords

total positivitylog-convexitymodified Bessel functionPoisson mixturegeneralized inverse Gaussian distributionnormal mixture

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Related Items (5)

Reach of repulsion for determinantal point processes in high dimensions ⋮ Multiplying a Gaussian matrix by a Gaussian vector ⋮ Generalized bounds for active subspaces ⋮ On bounds for the mode and median of the generalized hyperbolic and related distributions ⋮ Some properties of the multivariate generalized hyperbolic laws

Uses Software

• ghyp

Cites Work

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• An extension of Goldie's result and further results in infinite divisibility
• Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• The modality of some compound Poisson distributions
• Subordination and self-decomposability

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