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

zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 1304526 (Why is no real title available?)
• scientific article; zbMATH DE number 697763 (Why is no real title available?)
• scientific article; zbMATH DE number 788228 (Why is no real title available?)
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• Estimation methods for the multivariate \(t\) distribution
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
• Monte Carlo and quasi-Monte Carlo sampling
• Multivariate T-Distributions and Their Applications
• Numerical computation of multivariatet-probabilities with application to power calculation of multiple contrasts
• Numerical evaluation of singular multivariate normal distributions
• On the distribution of points in a cube and the approximate evaluation of integrals
• Optimal Parameters for Multidimensional Integration
• Properties of doubly-truncated gamma variables
• Quantitative risk management. Concepts, techniques and tools
• Randomization of Number Theoretic Methods for Multiple Integration
• Remarks on a Multivariate Transformation
• The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
• The effective dimension and quasi-Monte Carlo integration
• Understanding and Addressing the Unbounded “Likelihood” Problem

Cited in

(4)

• Generating knockoffs via conditional independence
• The flexible transmuted record type-scale mixture of normal family and its AR(1) extension
• Mean mixtures of normal distributions: properties, inference and application
• Estimating the components of a mixture of normal distributions

Describes a project that uses

Uses Software

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

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