On normal variance–mean mixtures

Yaming Yu

Statistics & Probability Letters, 2017, vol. 121, issue C, 45-50

Abstract: We study shape properties of normal variance–mean mixtures, in both the univariate and multivariate cases, and determine conditions for unimodality and log-concavity of the density functions. We also interpret such results in practical terms and discuss discrete analogues.

Keywords: Generalized inverse Gaussian distribution; Log-convexity; Modified Bessel function; Normal mixture; Poisson mixture; Total positivity (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.2016.07.024

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