Contaminated Variance-Mean mixing model

被引：0

作者：

Fung, Thomas ^{[1
]}

Wang, Joanna J. J. ^{[1
]}

Seneta, Eugene ^{[2
]}

机构：

[1] Macquarie Univ, Dept Stat, N Ryde, NSW 2109, Australia

[2] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2013年 / 67卷

关键词：

DIC; Normal Variance-Mean distribution; Maximum likelihood estimation; Mixing representation; Variance-Gamma distribution; JAGS; RETURNS;

D O I：

10.1016/j.csda.2013.05.024

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The Generalised Normal Variance-Mean (GNVM) model in which the mixing random variable is Gamma distributed is considered. This model generalises the popular Variance-Gamma (VG) distribution. This GNVM model can be interpreted as the addition of noise to a (skew) VG base. The discussion is based on goodness of fit criteria and on parameter estimation. The conclusion is that the shape of the VG distribution can be adjusted in a favourable way by adding noise. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：258 / 267

页数：10

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