Multivariate normal mean-variance mixture distribution based on Birnbaum-Saunders distribution

DOI10.1080/00949655.2014.937435zbMATH Open1457.62164OpenAlexW1967374728MaRDI QIDQ5220908FDOQ5220908

Authors: Ahad Jamalizadeh, Reza Pourmousa, Mohsen Rezapour 

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2014.937435

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zbMATH Keywords

generalized hyperbolic distributionEM-algorithmBirnbaum-Saunders distributionnon-Gaussian ARCH process

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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Cited In (20)

• Robust mixture regression modeling based on the normal mean-variance mixture distributions
• Matrix-variate normal mean-variance Birnbaum-Saunders distributions and related mixture models
• A robust class of multivariate fatigue distributions based on normal mean-variance mixture model
• A skew factor analysis model based on the normal mean-variance mixture of Birnbaum-Saunders distribution
• Flexible factor model for handling missing data in supervised learning
• Multivariate normal mean-variance mixture distribution based on Lindley distribution
• Nonlinear regression models based on the normal mean-variance mixture of Birnbaum-Saunders distribution
• A novel mixture model using the multivariate normal mean-variance mixture of Birnbaum-Saunders distributions and its application to extrasolar planets
• The likelihood and Bayesian analyses for asymmetric Laplace nonlinear regression model
• On the finite mixture modelling via normal mean-variance Birnbaum-Saunders distribution
• A robust factor analysis model based on the canonical fundamental skew-\(t\) distribution
• Birnbaum‐Saunders distribution: A review of models, analysis, and applications
• Analyzing skewed financial data using skew scale-shap mixtures of multivariate normal distributions
• Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution
• Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios
• 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
• On multivariate log Birnbaum-Saunders distribution
• Introducing a family of distributions by using the class of normal mean-variance mixture
• Skew-normal mean-variance mixture of Birnbaum-Saunders distribution and its associated inference and application

Uses Software

• QRM

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