On the multivariate extended skew-normal, normal-exponential, and normal-gamma distributions

DOI10.1080/15598608.2012.719799zbMath1425.62027OpenAlexW1981248574MaRDI QIDQ2320797

C. J. Adcock, K. Shutes

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2012.719799

zbMATH Keywords

exponential distributionmoment-generating functiongamma distributionportfolio selectionStein's lemmamultivariate extended skew-normal distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15)

Related Items

Stein's lemma for truncated generalized skew-elliptical random vectors ⋮ A new kurtosis matrix, with statistical applications ⋮ Family of mean-mixtures of multivariate normal distributions: properties, inference and assessment of multivariate skewness ⋮ An EM algorithm for estimating the parameters of the multivariate skew-normal distribution with censored responses ⋮ Bayesian inference and prediction for mean-mixtures of normal distributions ⋮ The extended skew Gaussian process for regression ⋮ A Stein type lemma for the multivariate generalized hyperbolic distribution ⋮ Linear transformations to symmetry ⋮ A proof for the existence of multivariate singular generalized skew-elliptical density functions ⋮ Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution ⋮ A formulation for continuous mixtures of multivariate normal distributions ⋮ Gram-Charlier-like expansions of the convoluted hyperbolic-secant density

Uses Software

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