Contaminated Variance–Mean mixing model

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.

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Year of publication:	2013
Authors:	Fung, Thomas ; Wang, Joanna J.J. ; Seneta, Eugene
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 67.2013, C, p. 258-267
Publisher:	Elsevier
Subject:	DIC \| Normal Variance–Mean distribution \| Maximum likelihood estimation \| Mixing representation \| Variance-Gamma distribution \| JAGS

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010871309