Scale mixtures of skew-normal-Cauchy distributions

F. Kahrari, R.B. Arellano-Valle, M. Rezaei and F. Yousefzadeh

Statistics & Probability Letters, 2017, vol. 126, issue C, 1-6

Abstract: We propose the scale mixtures of multivariate skew-normal-Cauchy distributions as a new class of asymmetric heavy-tailed distributions. We derive an EM algorithm for maximum likelihood estimation.

Keywords: EM-algorithm; Shape mixture; Scale mixture skew-normal-Cauchy distributions (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2017.02.027

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