Abstract
This article introduces a new asymmetric distribution constructed by assuming the multivariate normal mean-variance mixture model. Called normal mean-variance mixture of the Lindley distribution, we derive some mathematical properties of the new distribution. Also, a feasible maximum likelihood estimation procedure using the EM algorithm and the asymptotic standard errors of parameter estimates are developed. The performance of the proposed distribution is illustrated by means of real datasets and simulation analysis.
Original language | English |
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Pages (from-to) | 1179-1192 |
Number of pages | 13 |
Journal | Communications in Statistics - Simulation and Computation |
Volume | 47 |
Issue number | 4 |
Early online date | 20 Jun 2017 |
DOIs | |
Publication status | Published - 21 Apr 2018 |
Externally published | Yes |
Keywords
- ECM algorithm
- Generalized hyperbolic distribution
- Lindley distribution
- Normal mean-variance mixture