Contaminated Variance–Mean mixing model

Thomas Fung, Joanna J.J. Wang and Eugene Seneta

Computational Statistics & Data Analysis, 2013, vol. 67, issue C, 258-267

Abstract: 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.

Keywords: DIC; Normal Variance–Mean distribution; Maximum likelihood estimation; Mixing representation; Variance-Gamma distribution; JAGS (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:67:y:2013:i:c:p:258-267

DOI: 10.1016/j.csda.2013.05.024

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