Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties

dc.creatorVilca, F
dc.creatorBalakrishnan, N
dc.creatorZeller, CB
dc.date2014
dc.dateJUL
dc.date2014-08-01T18:40:26Z
dc.date2015-11-26T17:08:42Z
dc.date2014-08-01T18:40:26Z
dc.date2015-11-26T17:08:42Z
dc.date.accessioned2018-03-28T23:57:21Z
dc.date.available2018-03-28T23:57:21Z
dc.identifierJournal Of Multivariate Analysis. Elsevier Inc, v. 128, n. 73, n. 85, 2014.
dc.identifier0047-259X
dc.identifierWOS:000335804300007
dc.identifier10.1016/j.jmva.2014.03.002
dc.identifierhttp://www.repositorio.unicamp.br/jspui/handle/REPOSIP/82063
dc.identifierhttp://repositorio.unicamp.br/jspui/handle/REPOSIP/82063
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1280438
dc.descriptionFundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
dc.descriptionConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
dc.descriptionThe Generalized Inverse Gaussian (GIG) distribution has found many interesting applications: see Jorgensen [24]. This rich family includes some well-known distributions, such as the inverse Gaussian, gamma and exponential, as special cases. These distributions have been used as the mixing density for building some heavy-tailed multivariate distributions including the normal inverse Gaussian, Student-t and Laplace distributions. In this paper, we use the GIG distribution in the context of the scale-mixture of skew-normal distributions, deriving a new family of distributions called Skew-Normal Generalized Hyperbolic distributions. This new flexible family of distributions possesses skewness with heavy-tails, and generalizes the symmetric normal inverse Gaussian and symmetric generalized hyperbolic distributions. (C) 2014 Elsevier Inc. All rights reserved.
dc.description128
dc.description73
dc.description85
dc.descriptionFundação de Amparo à Pesquisa do Estado de Minas Gerais (FAPEMIG)
dc.descriptionFundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
dc.descriptionConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
dc.descriptionBrazil
dc.descriptionNatural Sciences and Engineering Research Council of Canada
dc.descriptionFundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
dc.descriptionConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
dc.languageen
dc.publisherElsevier Inc
dc.publisherSan Diego
dc.publisherEUA
dc.relationJournal Of Multivariate Analysis
dc.relationJ. Multivar. Anal.
dc.rightsfechado
dc.rightshttp://www.elsevier.com/about/open-access/open-access-policies/article-posting-policy
dc.sourceWeb of Science
dc.subjectGeneralized inverse Gaussian distribution
dc.subjectSkew-normal distribution
dc.subjectHeavy-tailed distributions
dc.subjectSkewness and kurtosis
dc.subjectNormal inverse Gaussian distribution
dc.subjectSkew-Normal Generalized Hyperbolic distribution
dc.subjectMixtures
dc.subjectInverse Gaussian Model
dc.subjectScale Mixtures
dc.subjectT-distribution
dc.subjectVariance
dc.subjectRobustness
dc.subjectReturns
dc.subjectMoments
dc.subjectAsset
dc.titleMultivariate Skew-Normal Generalized Hyperbolic distribution and its properties
dc.typeArtículos de revistas


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