Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables

DOI10.1080/03610920601001790MaRDI QIDQ3436007zbMATH OpenOpenAlexFDO

Authors Kim-Heng Chen, Stergios Fotopoulos, Venkata Jandhyala

Publication date 8 May 2007

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920601001790

zbMATH Keywords

characteristic functionfinancial log returnsgeneralized hyperbolic modelsgeneralized inverse Gaussian distributionnonlinear regression

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Multivariate distribution of statistics (62H10) General nonlinear regression (62J02) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors.
• Error bounds for asymptotic expansion of the conditional variance of the scale mixtures of the multivariate normal distribution
• Generalized hyperbolic diffusion processes with applications in finance
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• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• scientific article; zbMATH DE number 48335 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• Models for non-Gaussian variation, with applications to turbulence
• Multiple regression on stable vectors
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Nonlinear regression of stable random variables
• On the conditional variance for scale mixtures of normal distributions
• On the theory of elliptically contoured distributions

Cited in

(1)

• Non-linear properties of conditional returns under scale mixtures

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