On normal variance-mean mixtures

DOI10.1016/J.SPL.2016.07.024zbMATH Open1375.60052arXiv1106.2333OpenAlexW2963380886MaRDI 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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zbMATH Keywords

normal mixturetotal positivitymodified Bessel functionlog-convexitygeneralized inverse Gaussian distributionPoisson mixture

Mathematics Subject Classification ID

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

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Cited In (15)

• 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
• CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
• Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations
• 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
• Mean mixtures of normal distributions: properties, inference and application
• The conditional variance for gamma mixtures of normal distributions
• Title not available (Why is that?)
• 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

Uses Software

• ghyp

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