Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties

Filidor Vilca, N. Balakrishnan and Camila Borelli Zeller

Journal of Multivariate Analysis, 2014, vol. 128, issue C, 73-85

Abstract: The Generalized Inverse Gaussian (GIG) distribution has found many interesting applications; see Jørgensen [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.

Keywords: Generalized inverse Gaussian distribution; Skew-normal distribution; Heavy-tailed distributions; Skewness and kurtosis; Normal inverse Gaussian distribution; Skew-Normal Generalized Hyperbolic distribution; Mixtures (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X14000499
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:128:y:2014:i:c:p:73-85

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2014.03.002

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().