On Pólya mixtures of multivariate Gaussian distributions

Bronius Grigelionis

Statistics & Probability Letters, 2008, vol. 78, issue 12, 1459-1465

Abstract: We define a multivariate extension of the Prentice z-distribution, as a Pólya-type (infinitely divisible) mixture of multivariate Gaussian distribution. The paper obtains representations of the Lévy measure and the probability density of such mixtures in terms of series of Bessel functions.

Date: 2008
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