Contaminated variance-mean mixing model

DOI10.1016/J.CSDA.2013.05.024zbMath1471.62068OpenAlexW2051598840MaRDI QIDQ1615117

Joanna J. J. Wang, Eugene Seneta, Thomas Fung

Publication date: 2 November 2018

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

Full work available at URL: https://doi.org/10.1016/j.csda.2013.05.024

zbMATH Keywords

maximum likelihood estimationDICJAGSmixing representationnormal variance-mean distributionvariance-gamma distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Uses Software

• JAGS
• BayesDA

Cites Work

• Unnamed Item
• Extreme value theory for moving average processes
• Some skew-symmetric models
• Normal Variance-Mean Mixtures and z Distributions
• Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments

This page was built for publication: Contaminated variance-mean mixing model