Normal Variance-Mean Mixtures and z Distributions

From MaRDI portal
Publication:3962322

DOI10.2307/1402598zbMath0497.62019OpenAlexW2314640094MaRDI QIDQ3962322

John T. Kent, Michael Sørensen, Ole Eiler 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




Related Items (only showing first 100 items - show all)

An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distributionModeling high-frequency non-homogeneous order flows by compound Cox processesContaminated variance-mean mixing modelApproximation and simulation of infinite-dimensional Lévy processesA general approach for obtaining wrapped circular distributions via mixturesOn asymmetric generalization of the Weibull distribution by scale-location mixing of normal lawsFractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic DistributionsOptimal portfolio selection based on expected shortfall under generalized hyperbolic distributionModeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processesStein's method in two limit theorems involving the generalized inverse Gaussian distributionOn normal variance-mean mixturesModified Pólya-Gamma data augmentation for Bayesian analysis of directional dataHyperbolic Vector Random Fields with Hyperbolic Direct and Cross Covariance FunctionsEffective sample size for line transect sampling models with an application to marine macroalgaeMultifractal scenarios for products of geometric Lévy-based stationary modelsOn convergence of the distributions of random sequences with independent random indexes to variance–mean mixturesPair correlation functions and limiting distributions of iterated cluster point processesA note on functional limit theorems for compound Cox processesA geometric interpretation of the transition density of a symmetric Lévy processBivariate beta-generated distributions with applications to well-being dataMultivariate elliptical truncated momentsBayesian inference for zero-and-one-inflated geometric distribution regression model using Pólya-Gamma latent variablesModelling energy spot prices by volatility modulated Lévy-driven Volterra processesLocation and scale mixtures of Gaussians with flexible tail behaviour: properties, inference and application to multivariate clusteringSemiparametric estimation in the normal variance-mean mixture modelFamily of mean-mixtures of multivariate normal distributions: properties, inference and assessment of multivariate skewnessA Grassmann integral equationThe Pearson Diffusions: A Class of Statistically Tractable Diffusion ProcessesLog-gamma-generated families of distributionsMultiplying a Gaussian matrix by a Gaussian vectorA Stein characterisation of the generalized hyperbolic distributionBootstrap confidence intervals for tail indices.Families of distributions arising from distributions of order statisticsBayesian modelling of skewness and kurtosis with two-piece scale and shape distributionsOn the Size Distribution of SandMulti-stock portfolio optimization under prospect theoryOn normal variance-mean mixtures as limit laws for statistics with random sample sizesRisk parity for mixed tempered stable distributed sources of riskK-distributed vector random fields in space and timeGlobal-local mixtures: a unifying frameworkSemiparametric Gaussian variance-mean mixtures for heavy-tailed and skewed dataPrediction-based estimating functions: review and new developmentsAn alternative multivariate skew Laplace distribution: properties and estimationStudent-like models for risky asset with dependenceSensitivity analysis of mixed tempered stable parameters with implications in portfolio optimizationWasserstein-divergence transportation inequalities and polynomial concentration inequalitiesConditional distributions of multivariate normal mean-variance mixturesStatistical Skorohod embedding problem: optimality and asymptotic normalityOn Pólya mixtures of multivariate Gaussian distributionsAdditive logistic processes in option pricingNormal scale mixtures and dual probability densitiesModelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approachBilateral gamma distributions and processes in financial mathematicsSemi-parametric modelling in finance: theoretical foundationsA semi-parametric approach to risk managementAn alternative multivariate skew-slash distributionSeries representations for multivariate time-changed Lévy modelsMultivariate distribution models with generalized hyperbolic marginsA Structural Approach to Default Modelling with Pure Jump ProcessesA GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCEA generalized class of skew distributions and associated robust quantile regression modelsGeneralized Post-Widder inversion formula with application to statisticsBayesian estimation of NIG models via Markov chain Monte Carlo methodsA new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clusteringOn The Uncertainty Relation for Positive-Definite Probability Densities, IIMixed tempered stable distributionMultifractality of products of geometric Ornstein-Uhlenbeck-type processesLamperti-type lawsA mixture of coalesced generalized hyperbolic distributionsPrediction risk for the horseshoe regressionOn subordinated multivariate Gaussian Lévy processesProbabilistic Formulation of Independent Vector Analysis Using Complex Gaussian Scale MixturesOn normal stable Tweedie models and power-generalized variance functions of only one componentOn the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processesMaximum likelihood parameter estimation for the multivariate skew-slash distributionAn algebra of Stein operatorsThe horseshoe-like regularization for feature subset selectionClasses of Infinitely Divisible Distributions and ExamplesConvergence and inference for mixed Poisson random sumsForward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysisOn moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectationExact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processesMean mixtures of normal distributions: properties, inference and applicationAumann-Serrano index of risk in portfolio optimizationBayesian estimation for misclassification rate in linear discriminant analysisBuilding multivariate Sato models with linear dependenceOn the Laws of First Hitting Times of Points for One-Dimensional Symmetric Stable Lévy ProcessesConvolution mixtures of infinitely divisible distributionsStationary-increment Student and variance-gamma processesMoments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distributionConditions on which cokriging does not do better than krigingHessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfoliosAggregation of log-linear risksBayesian Inference for Logistic Models Using Pólya–Gamma Latent VariablesPORTFOLIO RETURN DISTRIBUTIONS: SAMPLE STATISTICS WITH STOCHASTIC CORRELATIONSVariance-mean mixture of the multivariate skew normal distributionFinite Mixture Approximation of CARMA(p,q) ModelsModels for stock returnsCost-efficiency in multivariate Lévy modelsQuantile Regression via the EM Algorithm




This page was built for publication: Normal Variance-Mean Mixtures and z Distributions