The multivariate tail-inflated normal distribution and its application in finance

DOI10.1080/00949655.2020.1805451OpenAlexW3048561590MaRDI QIDQ5033962

Antonio Punzo, Luca Bagnato

Publication date: 24 February 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.12180

zbMATH Keywords

heavy-tailed distributionsmaximum likelihoodelliptical distributionsuniform distributionscale mixturesfinancial applications

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (7)

New bivariate and multivariate log-normal distributions as models for insurance data ⋮ Dimension-wise scaled normal mixtures with application to finance and biometry ⋮ Model-based clustering via new parsimonious mixtures of heavy-tailed distributions ⋮ Multivariate cluster weighted models using skewed distributions ⋮ Parsimonious mixtures for the analysis of tensor-variate data ⋮ Multivariate Contaminated Normal Censored Regression Model: Properties and Maximum Likelihood Inference ⋮ Parsimonious Hidden Markov Models for Matrix-Variate Longitudinal Data

Uses Software

• R
• ghyp
• QRM
• ContaminatedMixt
• cntclust

Cites Work

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