Normal Variance-Mean Mixtures and z Distributions

DOI10.2307/1402598zbMATH Open0497.62019OpenAlexW2314640094MaRDI QIDQ3962322FDOQ3962322

Authors: John T. Kent, Michael Sørensen, Ole E. Barndorff-Nielsen 

Publication date: 1982

Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1402598

zbMATH Keywords

surveylogistic distributionfirst hitting timesself-decomposabilityThorin classtail behaviourhyperbolic distributionsTauberian resultshyperbolic cosine distributionnew resultsmodulated normal distributionsnormal variance-mean mixturesself-reciprocityz distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Characterization and structure theory of statistical distributions (62E10)

Cited In (only showing first 100 items - show all)

• On Pólya mixtures of multivariate Gaussian distributions
• A geometric interpretation of the transition density of a symmetric Lévy process
• A semi-parametric approach to risk management
• Modeling high-frequency non-homogeneous order flows by compound Cox processes
• Prediction-based estimating functions: review and new developments
• 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
• Bootstrap confidence intervals for tail indices.
• Aumann-Serrano index of risk in portfolio optimization
• Contaminated variance-mean mixing model
• Matrix variate generalized asymmetric Laplace distributions
• Approximation and simulation of infinite-dimensional Lévy processes
• Multivariate distribution models with generalized hyperbolic margins
• Bilateral gamma distributions and processes in financial mathematics
• Cost-efficiency in multivariate Lévy models
• Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
• 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
• Semi-parametric modelling in finance: theoretical foundations
• Multifractal scenarios for products of geometric Lévy-based stationary models
• K-distributed vector random fields in space and time
• Closed-form option pricing for exponential Lévy models: a residue approach
• Maximum likelihood parameter estimation for the multivariate skew-slash distribution
• Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution
• On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws
• Families of distributions arising from distributions of order statistics
• Multivariate elliptical truncated moments
• An alternative multivariate skew-slash distribution
• Smile Asymptotics II: Models with Known Moment Generating Functions
• On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Aggregation of log-linear risks
• Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
• 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
• Mean mixtures of normal distributions: properties, inference and application
• An alternative multivariate skew Laplace distribution: properties and estimation
• An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
• Normal scale mixtures and dual probability densities
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• Identification of sparse FIR systems using a general quantisation scheme
• A Stein characterisation of the generalized hyperbolic distribution
• Effective sample size for line transect sampling models with an application to marine macroalgae
• Log-gamma-generated families of distributions
• Wasserstein-divergence transportation inequalities and polynomial concentration inequalities
• Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
• On normal variance-mean mixtures as limit laws for statistics with random sample sizes
• A note on functional limit theorems for compound Cox processes
• Bivariate beta-generated distributions with applications to well-being data
• Convolution mixtures of infinitely divisible distributions
• On normal variance-mean mixtures
• A generalized class of skew distributions and associated robust quantile regression models
• Bayesian inference and prediction for mean-mixtures of normal distributions
• On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
• Bayesian Inference for Logistic Models Using Pólya–Gamma Latent Variables
• Global-local mixtures: a unifying framework
• A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering
• Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios
• Quantile regression via the EM algorithm
• A mixture of coalesced generalized hyperbolic distributions
• Location and scale mixtures of Gaussians with flexible tail behaviour: properties, inference and application to multivariate clustering
• Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
• On convergence of the distributions of random sequences with independent random indexes to variance-mean mixtures
• On Families of Distributions with Shape Parameters
• Variance-mean mixture of Kotz-type distributions
• Multi-stock portfolio optimization under prospect theory
• Portfolio return distributions: sample statistics with stochastic correlations
• An algebra of Stein operators
• Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes
• A Laplace-based model with flexible tail behavior
• Multiple scaled symmetric distributions in allometric studies
• A structural approach to default modelling with pure jump processes
• Horseshoe Regularisation for Machine Learning in Complex and Deep Models¹
• Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
• Conditional distributions of multivariate normal mean-variance mixtures
• Student‐t stochastic volatility model with composite likelihood EM‐algorithm
• Maximum leave-one-out likelihood method for the location parameter of variance gamma distribution with unbounded density
• A generalized normal mean-variance mixture for return processes in finance
• On The Uncertainty Relation for Positive-Definite Probability Densities, II
• Building multivariate Sato models with linear dependence
• Generalized location-scale mixtures of elliptical distributions: Definitions and stochastic comparisons
• Generalized Post-Widder inversion formula with application to statistics
• Generalized Bayesian MARS: tools for stochastic computer model emulation
• Classes of infinitely divisible distributions and examples
• Additive logistic processes in option pricing
• Bayesian estimation and prediction for certain type of mixtures
• Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations
• A Grassmann integral equation
• Stein's method in two limit theorems involving the generalized inverse Gaussian distribution
• Family of mean-mixtures of multivariate normal distributions: properties, inference and assessment of multivariate skewness
• Mixed tempered stable distribution
• The skewness of mean-variance normal mixtures
• Semiparametric estimation in the normal variance-mean mixture model
• 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
• The horseshoe-like regularization for feature subset selection

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