Multivariate skew-normal generalized hyperbolic distribution and its properties

DOI10.1016/j.jmva.2014.03.002zbMath1352.62080OpenAlexW2008489469MaRDI QIDQ2451620

Filidor Vilca, Camila Borelli Zeller, Narayanaswamy Balakrishnan

Publication date: 4 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.03.002

zbMATH Keywords

heavy-tailed distributionsnormal inverse Gaussian distributionskew-normal distributionmixturesgeneralized inverse Gaussian distributionskewness and kurtosisskew-normal generalized hyperbolic distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

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