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

被引：19
|
作者：
Pourmousa, R. [1 ]
Jamalizadeh, A. [1 ]
Rezapour, M. [1 ]
机构：
[1] Shahid Bahonar Univ, Dept Stat, Kerman, Iran
来源：
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 2015年 / 85卷 / 13期
关键词：
62M10; 62E15; Birnbaum-Saunders distribution; generalized hyperbolic distribution; non-Gaussian Arch process; EM-Algorithm; ORDER MARKOV-CHAINS; LIFE DISTRIBUTIONS; T-DISTRIBUTION; MODELS; FAMILY;
D O I：
10.1080/00949655.2014.937435
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
A multivariate normal mean-variance mixture based on a Birnbaum-Saunders (NMVMBS) distribution is introduced and several properties of this new distribution are discussed. A new robust non-Gaussian ARCH-type model is proposed in which there exists a relation between the variance of the observations, and the marginal distributions are NMVMBS. A simple EM-based maximum likelihood estimation procedure to estimate the parameters of this normal mean-variance mixture distribution is given. A simulation study and some real data are used to demonstrate the modelling strength of this new model.
引用
收藏
页码：2736 / 2749
页数：14
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