On the conditional variance for scale mixtures of normal distributions

DOI10.1006/jmva.1999.1888zbMath0962.62010OpenAlexW2077593638MaRDI QIDQ1587358

Lijian He, Stamatis Cambanis, Stergios B. Fotopoulos

Publication date: 18 June 2001

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1999.1888

zbMATH Keywords

heteroscedasticitystable random vectorsmarginal densities

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Exact distribution theory in statistics (62E15) Characteristic functions; other transforms (60E10) Characterization and structure theory of statistical distributions (62E10)

Related Items (11)

The conditional variance for gamma mixtures of normal distributions ⋮ Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations ⋮ Symmetric Gaussian mixture distributions with GGC scales ⋮ A robust extension of the bivariate Birnbaum-Saunders distribution and associated inference ⋮ Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors. ⋮ Multivariate skew-normal generalized hyperbolic distribution and its properties ⋮ A robust multivariate Birnbaum–Saunders distribution: EM estimation ⋮ Tempered distributions and their application in computing conditional moments for normal mixtures ⋮ Non-linear properties of conditional returns under scale mixtures ⋮ UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS ⋮ Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables

Cites Work

• Existence of joint moments of stable random variables
• On the theory of elliptically contoured distributions
• Multiple regression on stable vectors
• Mixtures of distributions, moment inequalities and measures of exponentiality and normality
• Metric spaces and completely monontone functions
• On the linearity of regression
• Elliptically contoured measures on infinite-dimensional Banach spaces
• Infinite Divisibility and Variance Mixtures of the Normal Distribution
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