A new class of multivariate distributions: scale mixture of Kotz-type distributions

DOI10.1016/J.SPL.2005.05.009zbMATH Open1082.62047OpenAlexW2093727046MaRDI QIDQ2575553FDOQ2575553

Olcay Arslan

Publication date: 5 December 2005

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

Full work available at URL: https://doi.org/10.1016/j.spl.2005.05.009

zbMATH Keywords

\(t\) distributionelliptically contoured distributiongeneralized \(t\) distributionscale mixture distributioninverse generalized gamma distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Random matrices (algebraic aspects) (15B52)

Cites Work

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• Some extremal type elliptical distributions

Cited In (13)

• A new family of multivariate slash distributions
• Dynamic density forecasts for multivariate asset returns
• Using parametric classification trees for model selection with applications to financial risk management
• Some extremal type elliptical distributions
• The Kotz-type distribution with applications
• Distributions of the compound and scale mixture of vector and spherical matrix variate elliptical distributions
• Gram–Charlier densities: a multivariate approach
• Variance-Mean Mixture of Kotz-Type Distributions
• Title not available (Why is that?)
• A generalization of the multivariate slash distribution
• Extending the multivariate generalised \(t\) and generalised \(VG\) distributions
• Compound and scale mixture of matricvariate and matrix variate Kotz-type distributions
• Family of multivariate generalized \(t\) distributions

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