Normal Variance-Mean Mixtures and z Distributions
From MaRDI portal
Publication:3962322
Cited in
(only showing first 100 items - show all)- Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes
- Prediction risk for the horseshoe regression
- On Properties of the MixedTS Distribution and Its Multivariate Extension
- A Laplace-based model with flexible tail behavior
- On Pólya mixtures of multivariate Gaussian distributions
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
- Conditional distributions of multivariate normal mean-variance mixtures
- Modeling high-frequency non-homogeneous order flows by compound Cox processes
- A geometric interpretation of the transition density of a symmetric Lévy process
- A structural approach to default modelling with pure jump processes
- Multiple scaled symmetric distributions in allometric studies
- Prediction-based estimating functions: review and new developments
- Horseshoe Regularisation for Machine Learning in Complex and Deep Models1
- A semi-parametric approach to risk management
- Student‐t stochastic volatility model with composite likelihood EM‐algorithm
- On normal stable Tweedie models and power-generalized variance functions of only one component
- Statistical Skorohod embedding problem: optimality and asymptotic normality
- Series representations for multivariate time-changed Lévy models
- A generalized normal mean-variance mixture for return processes in finance
- Bootstrap confidence intervals for tail indices.
- Maximum leave-one-out likelihood method for the location parameter of variance gamma distribution with unbounded density
- Aumann-Serrano index of risk in portfolio optimization
- On The Uncertainty Relation for Positive-Definite Probability Densities, II
- Contaminated variance-mean mixing model
- Building multivariate Sato models with linear dependence
- Approximation and simulation of infinite-dimensional Lévy processes
- Multivariate distribution models with generalized hyperbolic margins
- Generalized location-scale mixtures of elliptical distributions: Definitions and stochastic comparisons
- Bilateral gamma distributions and processes in financial mathematics
- Matrix variate generalized asymmetric Laplace distributions
- Cost-efficiency in multivariate Lévy models
- Lamperti-type laws
- Bayesian estimation for misclassification rate in linear discriminant analysis
- Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution
- Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
- Semi-parametric modelling in finance: theoretical foundations
- Multifractal scenarios for products of geometric Lévy-based stationary models
- Generalized Post-Widder inversion formula with application to statistics
- K-distributed vector random fields in space and time
- Maximum likelihood parameter estimation for the multivariate skew-slash distribution
- On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws
- Closed-form option pricing for exponential Lévy models: a residue approach
- Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution
- Families of distributions arising from distributions of order statistics
- Classes of infinitely divisible distributions and examples
- Additive logistic processes in option pricing
- Generalized Bayesian MARS: tools for stochastic computer model emulation
- An alternative multivariate skew-slash distribution
- Multivariate elliptical truncated moments
- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
- Bayesian estimation and prediction for certain type of mixtures
- Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations
- Smile Asymptotics II: Models with Known Moment Generating Functions
- A Grassmann integral equation
- Stein's method in two limit theorems involving the generalized inverse Gaussian distribution
- Aggregation of log-linear risks
- Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
- Stationary-increment Student and variance-gamma processes
- Hyperbolic vector random fields with hyperbolic direct and cross covariance functions
- On subordinated multivariate Gaussian Lévy processes
- An alternative multivariate skew Laplace distribution: properties and estimation
- Mean mixtures of normal distributions: properties, inference and application
- An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
- Family of mean-mixtures of multivariate normal distributions: properties, inference and assessment of multivariate skewness
- Normal scale mixtures and dual probability densities
- Mixed tempered stable distribution
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- The skewness of mean-variance normal mixtures
- Identification of sparse FIR systems using a general quantisation scheme
- Effective sample size for line transect sampling models with an application to marine macroalgae
- A Stein characterisation of the generalized hyperbolic distribution
- The horseshoe-like regularization for feature subset selection
- Convergence and inference for mixed Poisson random sums
- Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
- Semiparametric estimation in the normal variance-mean mixture model
- Log-gamma-generated families of distributions
- Wasserstein-divergence transportation inequalities and polynomial concentration inequalities
- ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
- A double Pólya-Gamma data augmentation scheme for a hierarchical negative binomial-binomial data model
- Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
- Variance-mean mixture of the multivariate skew normal distribution
- Beyond Matérn: On A Class of Interpretable Confluent Hypergeometric Covariance Functions
- On the size distribution of sand
- On normal variance-mean mixtures as limit laws for statistics with random sample sizes
- Pair correlation functions and limiting distributions of iterated cluster point processes
- A note on functional limit theorems for compound Cox processes
- Bivariate beta-generated distributions with applications to well-being data
- Precision matrix estimation under the horseshoe-like prior-penalty dual
- Supermodular and directionally convex comparison results for general factor models
- On normal variance-mean mixtures
- Convolution mixtures of infinitely divisible distributions
- Student-like models for risky asset with dependence
- A generalized class of skew distributions and associated robust quantile regression models
- On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
- Bayesian inference and prediction for mean-mixtures of normal distributions
- A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering
- Global-local mixtures: a unifying framework
- Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios
This page was built for publication: Normal Variance-Mean Mixtures and z Distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3962322)