Symmetric Gaussian mixture distributions with GGC scales

DOI10.1016/J.JMVA.2017.06.007MaRDI QIDQ2401362zbMATH OpenOpenAlexFDO

Authors Stergios Fotopoulos

Publication date 8 September 2017

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

Full work available at URL https://doi.org/10.1016/j.jmva.2017.06.007

zbMATH Keywords

conditional densitiesDirichlet distributionsgeneralized inverse Gaussian variablesLaplace transformspherical vectorssubordinators

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(6)

• Extending the multivariate generalised \(t\) and generalised \(VG\) distributions
• Some properties of the multivariate generalized hyperbolic laws
• A mixture of coalesced generalized hyperbolic distributions
• scientific article; zbMATH DE number 6707503 (Why is no real title available?)
• Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables
• Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations

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