Normal variance mixtures: distribution, density and parameter estimation

DOI10.1016/J.CSDA.2021.107175OpenAlexW3118512513MaRDI QIDQ830505FDOQ830505

Authors: Erik Hintz, Marius Hofert, Christiane Lemieux 

Publication date: 7 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.03017

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zbMATH Keywords

densitiesdistribution functionsStudent \(t\)multivariate normal variance mixturesquasi-random number sequences

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Computation of multivariate normal and \(t\) probabilities
• The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
• Remarks on a Multivariate Transformation
• Multivariate T-Distributions and Their Applications
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• On the distribution of points in a cube and the approximate evaluation of integrals
• Monte Carlo and quasi-Monte Carlo sampling
• Better estimation of small sobol' sensitivity indices
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
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• The effective dimension and quasi-Monte Carlo integration
• Randomization of Number Theoretic Methods for Multiple Integration
• Estimation methods for the multivariate \(t\) distribution
• Numerical computation of multivariatet-probabilities with application to power calculation of multiple contrasts
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• Numerical evaluation of singular multivariate normal distributions
• Properties of doubly-truncated gamma variables
• Optimal Parameters for Multidimensional Integration
• Understanding and Addressing the Unbounded “Likelihood” Problem

Cited In (4)

• Mean mixtures of normal distributions: properties, inference and application
• Generating knockoffs via conditional independence
• Title not available (Why is that?)
• Estimating the components of a mixture of normal distributions

Uses Software

• AS 6
• CRAN
• mvtnorm
• QRM
• microbenchmark
• qrng
• sensitivity
• qrmdata
• QSIMVN
• nvmix

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