A formulation for continuous mixtures of multivariate normal distributions

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dc.contributor.authorArellano Valle, Reinaldo B.
dc.contributor.authorAzzalini, Adelchi
dc.date.accessioned2024-01-10T12:36:57Z
dc.date.available2024-01-10T12:36:57Z
dc.date.issued2021
dc.description.abstractSeveral formulations have long existed in the literature in the form of continuous mixtures of normal variables where a mixing variable operates on the mean or on the variance or on both the mean and the variance of a multivariate normal variable, by changing the nature of these basic constituents from constants to random quantities. More recently, other mixture-type constructions have been introduced, where the core random component, on which the mixing operation operates, is not necessarily normal. The main aim of the present work is to show that many existing constructions can be encompassed by a formulation where normal variables are mixed using two univariate random variables. For this formulation, we derive various general properties, with focus on the multivariate context. Within the proposed framework, it is also simpler to formulate new proposals of parametric families, and we provide a few such instances. As a side product, the exposition provides a concise compendium of the main constructions of continuous normal-mixtures type, although a full overview of this vast theme is not attempted. (C) 2021 Published by Elsevier Inc.
dc.description.funderUniversity of Padua
dc.fechaingreso.objetodigital27-03-2024
dc.format.extent20 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1016/j.jmva.2021.104780
dc.identifier.issn0047-259X
dc.identifier.urihttps://doi.org/10.1016/j.jmva.2021.104780
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/76706
dc.identifier.wosidWOS:000680450400004
dc.information.autorucFacultad de Matemáticas; Arellano Valle, Reinaldo Boris; S/I; 58107
dc.language.isoen
dc.nota.accesocontenido parcial
dc.publisherELSEVIER INC
dc.revistaJOURNAL OF MULTIVARIATE ANALYSIS
dc.rightsacceso restringido
dc.subjectContinuous mixtures of normal distributions
dc.subjectMardia's measures of multivariate skewness and kurtosis
dc.subjectVariance-mean mixtures of distributions
dc.subjectHYPERBOLIC DISTRIBUTION
dc.subjectPORTFOLIO SELECTION
dc.subjectSKEWNESS
dc.subjectKURTOSIS
dc.subject.ods03 Good Health and Well-being
dc.subject.odspa03 Salud y bienestar
dc.titleA formulation for continuous mixtures of multivariate normal distributions
dc.typeartículo
dc.volumen185
sipa.codpersvinculados58107
sipa.indexWOS
sipa.trazabilidadCarga SIPA;09-01-2024
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