Mixtures of Normal Distributions

Arjun K. Gupta, Tamas Varga and Taras Bodnar
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Arjun K. Gupta: Bowling Green State University, Department of Mathematics and Statistics
Tamas Varga: Damjanich
Taras Bodnar: Humboldt-University of Berlin, Department of Mathematics

Chapter Chapter 4 in Elliptically Contoured Models in Statistics and Portfolio Theory, 2013, pp 103-123 from Springer

Abstract: Abstract Muirhead (1982) gave a definition of scale mixture of vector variate normaldistributions. Using Corollary 2.6, the scale mixture of matrix variate normal distributionsis defined in this chapter. Furthermore, we present another way to obtain the p.d.f. of a matrix variate elliptically contoured distribution from the density functions of matrix variate normal distributions. For this purpose, Laplace transform is used.

Keywords: Matrix-variate Normal Distribution; Scale Mixture; Variable Vector; Density Function; Mixture Representation (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-8154-6_4

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DOI: 10.1007/978-1-4614-8154-6_4

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