TY - JOUR

T1 - Multivariate normal mean-variance mixture distribution based on Lindley distribution

AU - Naderi, Mehrdad

AU - Arabpour, Alireza

AU - Jamalizadeh, Ahad

PY - 2018/4/21

Y1 - 2018/4/21

N2 - 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.

AB - 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.

KW - ECM algorithm

KW - Generalized hyperbolic distribution

KW - Lindley distribution

KW - Normal mean-variance mixture

U2 - 10.1080/03610918.2017.1307400

DO - 10.1080/03610918.2017.1307400

M3 - Article

VL - 47

SP - 1179

EP - 1192

JO - Communications in Statistics - Simulation and Computation

JF - Communications in Statistics - Simulation and Computation

IS - 4

ER -