Maximum likelihood parameter estimation for the multivariate skew-slash distribution

Olcay Arslan

Statistics & Probability Letters, 2009, vol. 79, issue 20, 2158-2165

Abstract: In this paper we consider the parameter estimation of the multivariate skew-slash distribution introduced by Arslan [Arslan, O. 2008. An alternative multivariate skew-slash distribution. Statistics and Probability Letters 78, 2756-2761], which is a recent example of the normal variance-mean mixture distributions. Due to the complexity of the likelihood function, estimation of its parameters by direct maximization of the likelihood function seems difficult. To overcome this problem, we propose a simple EM-based maximum likelihood estimation procedure to estimate the parameters of the multivariate skew-slash distribution. We provide three examples to demonstrate the modeling strength of the multivariate skew-slash distribution and the feasibility of the proposed EM algorithm.

Date: 2009
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Citations: View citations in EconPapers (7)

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