Results 11 to 20 of about 17,906 (239)
Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation [PDF]
SSRN Electronic Journal, 2009 We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-variance-skewness frontier in closed form, and show that it can be spanned by three funds.
Enrique Sentana, Javier Mencía
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Bayesian measurement error models using finite mixtures of scale mixtures of skew-normal distributions [PDF]
Journal of Statistical Computation and Simulation, 2021 We present a proposal to deal with the non-normality issue in the context of regression models with measurement errors when both the response and the explanatory variable are observed with error. We extend the normal model by jointly modeling the unobserved covariate and the random errors by a finite mixture of scale mixture of skew-normal ...
Celso Rômulo Barbosa Cabral +2 more
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BAYESIAN REGRESSION ANALYSIS WITH SCALE MIXTURES OF NORMALS [PDF]
Econometric Theory, 2000 This paper considers a Bayesian analysis of the linear regression model under independent sampling from general scale mixtures of normals. Using a common reference prior, we investigate the validity of Bayesian inference and the existence of posterior moments of the regression and scale parameters.
Fernández, C., Steel, M.F.J.
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mixsmsn: Fitting Finite Mixture of Scale Mixture of Skew-Normal Distributions [PDF]
Journal of Statistical Software, 2013 We present the R package mixsmsn, which implements routines for maximum likeli- hood estimation (via an expectation maximization EM-type algorithm) in finite mixture models with components belonging to the class of scale mixtures of the skew-normal distribution, which we call the FMSMSN models.
Prates, Marcos Oliveira +2 more
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Robust Mixture Modeling Based on Two-Piece Scale Mixtures of Normal Family [PDF]
Axioms, 2019 In this paper, we examine the finite mixture (FM) model with a flexible class of two-piece distributions based on the scale mixtures of normal (TP-SMN) family components. This family allows the development of a robust estimation of FM models.
Mohsen Maleki +2 more
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Scale Mixtures of Normal Distributions
Journal of the Royal Statistical Society Series B: Statistical Methodology, 1974 Summary This paper presents necessary and sufficient conditions under which a random variable X may be generated as the ratio Z/V where Z and V are independent and Z has a standard normal distribution. This representation is useful in Monte Carlo calculations.
Andrews, D. F., Mallows, C. L.
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Skew scale mixtures of normal distributions: Properties and estimation
Statistical Methodology, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Da Silva Ferreira, Clécio +2 more
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How Broad is the Class of Normal Scale Mixtures?
The Annals of Statistics, 1978 We study the class of scale mixtures of normal distributions with mean zero. Given that the $\operatorname{cdf} F(x)$ of such a mixture is fixed at two points, say $F(x_1) = \alpha_1, F(x_2) = \alpha_2$, we answer the question of how widely $F(x_3)$ can vary at some third point $x_3$. A brief final section mentions extensions of our theorem.
Efron, Bradley, Olshen, Richard A.
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Robust mixture modeling based on scale mixtures of skew-normal distributions
Computational Statistics & Data Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Basso, Rodrigo M. +3 more
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Scale and shape mixtures of multivariate skew-normal distributions [PDF]
Journal of Multivariate Analysis, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Reinaldo B. Arellano-Valle +2 more
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