Normal variance mixtures: distribution, density and parameter estimation

DOI10.1016/j.csda.2021.107175OpenAlexW3118512513MaRDI QIDQ830505

Marius Hofert, Erik Hintz, 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)

Related Items

Generating knockoffs via conditional independence ⋮ Unnamed Item

Uses Software

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

Cites Work

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