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|Type:||Artigo de periódico|
|Title:||Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties|
|Abstract:||The Generalized Inverse Gaussian (GIG) distribution has found many interesting applications: see Jorgensen . 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. (C) 2014 Elsevier Inc. All rights reserved.|
|Subject:||Generalized inverse Gaussian distribution|
Skewness and kurtosis
Normal inverse Gaussian distribution
Skew-Normal Generalized Hyperbolic distribution
|Citation:||Journal Of Multivariate Analysis. Elsevier Inc, v. 128, n. 73, n. 85, 2014.|
|Appears in Collections:||Unicamp - Artigos e Outros Documentos|
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