Multivariate normal mean-variance mixture distribution based on Lindley distribution

DOI10.1080/03610918.2017.1307400MaRDI QIDQ5084783zbMATH OpenOpenAlexFDO

Authors Mehrdad Naderi, Alireza Arabpour, Ahad Jamalizadeh

Publication date 28 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2017.1307400

zbMATH Keywords

generalized hyperbolic distributionECM algorithmLindley distributionnormal mean-variance mixture

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10)

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Cited in

(10)

• Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
• Multivariate measurement error models with normal mean-variance mixture distributions
• Analyzing skewed financial data using skew scale-shap mixtures of multivariate normal distributions
• Study on the generalized three-parameter Lindley distribution
• Introducing a family of distributions by using the class of normal mean-variance mixture
• Robust mixture regression modeling based on the normal mean-variance mixture distributions
• Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios
• A robust class of multivariate fatigue distributions based on normal mean-variance mixture model
• A new weighted distribution based on the mixture of asymmetric Laplace family with application in survival analysis
• Time series clustering based on latent volatility mixture modeling with applications in finance

Describes a project that uses

Uses Software

• QRM

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