Multivariate normal mean–variance mixture distribution based on Birnbaum–Saunders distribution

DOI10.1080/00949655.2014.937435zbMath1457.62164OpenAlexW1967374728MaRDI QIDQ5220908

Ahad Jamalizadeh, Reza Pourmousa, Mohsen Rezapour

Publication date: 27 March 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2014.937435

zbMATH Keywords

EM-algorithmBirnbaum-Saunders distributiongeneralized hyperbolic distributionnon-Gaussian ARCH process

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (13)

A robust class of multivariate fatigue distributions based on normal mean-variance mixture model ⋮ Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution ⋮ Nonlinear regression models based on the normal mean-variance mixture of Birnbaum-Saunders distribution ⋮ Multivariate normal mean-variance mixture distribution based on Lindley distribution ⋮ A novel mixture model using the multivariate normal mean-variance mixture of Birnbaum-Saunders distributions and its application to extrasolar planets ⋮ A robust factor analysis model based on the canonical fundamental skew-\(t\) distribution ⋮ Flexible factor model for handling missing data in supervised learning ⋮ Robust mixture regression modeling based on the normal mean-variance mixture distributions ⋮ The likelihood and Bayesian analyses for asymmetric Laplace nonlinear regression model ⋮ Unnamed Item ⋮ Birnbaum‐Saunders distribution: A review of models, analysis, and applications ⋮ Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios ⋮ A skew factor analysis model based on the normal mean–variance mixture of Birnbaum–Saunders distribution

Uses Software

• QRM

Cites Work

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