Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution

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dc.contributor.authorGalea, Manuel
dc.contributor.authorVilca, Filidor
dc.contributor.authorZeller, Camila Borelli
dc.date.accessioned2024-01-10T13:10:22Z
dc.date.available2024-01-10T13:10:22Z
dc.date.issued2021
dc.description.abstractThe class of generalized hyperbolic (GH) distributions is generated by a mean-variance mixture of a multivariate Gaussian with a generalized inverse Gaussian (GIG) distribution. This rich family of GH distributions includes some well-known heavy-tailed and symmetric multivariate distributions, including the Normal Inverse Gaussian and some members of the family of scale-mixture of skew-normal distributions. The class of GH distributions has received considerable attention in finance and signal processing applications. In this paper, we propose the likelihood ratio (LR) test to test hypotheses about the skewness parameter of a GH distribution. Due to the complexity of the likelihood function, the EM algorithm is used to find the maximum likelihood estimates both in the complete model and the reduced model. For comparative purposes and due to its simplicity, we also consider the Gradient (G) test. A simulation study shows that the LR and G tests are usually able to achieve the desired significance levels and the testing power increases as the asymmetry increases. The methodology developed in the paper is applied to two real datasets.
dc.description.funderProject Fondecyt (Chile)
dc.description.funderFAPEMIG (Brazil)
dc.description.funderCNPq (Brazil)
dc.fechaingreso.objetodigital2024-05-16
dc.format.extent26 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1214/21-BJPS502
dc.identifier.issn0103-0752
dc.identifier.urihttps://doi.org/10.1214/21-BJPS502
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/77847
dc.identifier.wosidWOS:000681156200012
dc.information.autorucFacultad de Matemáticas; Galea Rojas, Manuel Jesus; 0000-0001-9819-5843; 1008589
dc.issue.numero3
dc.language.isoen
dc.nota.accesocontenido parcial
dc.pagina.final655
dc.pagina.inicio630
dc.publisherBRAZILIAN STATISTICAL ASSOCIATION
dc.revistaBRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS
dc.rightsacceso restringido
dc.subjectgradient test
dc.subjectEM algorithm
dc.subjectgeneralized hyperbolic distribution
dc.subjectnormal inverse Gaussian distribution
dc.subjectLikelihood ratio test
dc.subjectMODEL
dc.subjectLIKELIHOOD
dc.subjectEFFICIENT
dc.subjectMIXTURE
dc.subjectASSET
dc.subject.ods03 Good Health and Well-being
dc.subject.odspa03 Salud y bienestar
dc.titleHypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution
dc.typeartículo
dc.volumen35
sipa.codpersvinculados1008589
sipa.indexWOS
sipa.trazabilidadCarga SIPA;09-01-2024
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