IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v126y2017icp1-6.html
   My bibliography  Save this article

Scale mixtures of skew-normal-Cauchy distributions

Author

Listed:
  • Kahrari, F.
  • Arellano-Valle, R.B.
  • Rezaei, M.
  • Yousefzadeh, F.

Abstract

We propose the scale mixtures of multivariate skew-normal-Cauchy distributions as a new class of asymmetric heavy-tailed distributions. We derive an EM algorithm for maximum likelihood estimation.

Suggested Citation

  • Kahrari, F. & Arellano-Valle, R.B. & Rezaei, M. & Yousefzadeh, F., 2017. "Scale mixtures of skew-normal-Cauchy distributions," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 1-6.
    • Handle: RePEc:eee:stapro:v:126:y:2017:i:c:p:1-6
    DOI: 10.1016/j.spl.2017.02.027
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715217300834
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2017.02.027?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Marc Genton & Nicola Loperfido, 2005. "Generalized skew-elliptical distributions and their quadratic forms," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(2), pages 389-401, June.
    2. Branco, Márcia D. & Dey, Dipak K., 2001. "A General Class of Multivariate Skew-Elliptical Distributions," Journal of Multivariate Analysis, Elsevier, vol. 79(1), pages 99-113, October.
    3. Arellano-Valle, Reinaldo B. & Genton, Marc G., 2005. "On fundamental skew distributions," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 93-116, September.
    4. Kahrari, F. & Rezaei, M. & Yousefzadeh, F. & Arellano-Valle, R.B., 2016. "On the multivariate skew-normal-Cauchy distribution," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 80-88.
    5. Arellano-Valle, Reinaldo B. & Genton, Marc G. & Loschi, Rosangela H., 2009. "Shape mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 91-101, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. F. Kahrari & C. S. Ferreira & R. B. Arellano-Valle, 2019. "Skew-Normal-Cauchy Linear Mixed Models," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(2), pages 185-202, December.
    2. Arellano-Valle, Reinaldo B. & Ferreira, Clécio S. & Genton, Marc G., 2018. "Scale and shape mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 98-110.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Arellano-Valle, Reinaldo B. & Ferreira, Clécio S. & Genton, Marc G., 2018. "Scale and shape mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 98-110.
    2. Kahrari, F. & Rezaei, M. & Yousefzadeh, F. & Arellano-Valle, R.B., 2016. "On the multivariate skew-normal-Cauchy distribution," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 80-88.
    3. Sharon Lee & Geoffrey McLachlan, 2013. "On mixtures of skew normal and skew $$t$$ -distributions," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 7(3), pages 241-266, September.
    4. Yin, Chuancun & Balakrishnan, Narayanaswamy, 2024. "Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
    5. Antonio Canale & Euloge Clovis Kenne Pagui & Bruno Scarpa, 2016. "Bayesian modeling of university first-year students' grades after placement test," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(16), pages 3015-3029, December.
    6. Hok Shing Kwong & Saralees Nadarajah, 2022. "A New Robust Class of Skew Elliptical Distributions," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1669-1691, September.
    7. Sreenivasa Rao Jammalamadaka & Emanuele Taufer & Gyorgy H. Terdik, 2021. "On Multivariate Skewness and Kurtosis," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 607-644, August.
    8. Fang, B.Q., 2008. "Noncentral matrix quadratic forms of the skew elliptical variables," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1105-1127, July.
    9. Reinaldo B. Arellano-Valle & Marc G. Genton, 2010. "Multivariate extended skew-t distributions and related families," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 201-234.
    10. Jamalizadeh, A. & Balakrishnan, N., 2010. "Distributions of order statistics and linear combinations of order statistics from an elliptical distribution as mixtures of unified skew-elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1412-1427, July.
    11. Samuel Kotz & Donatella Vicari, 2005. "Survey of developments in the theory of continuous skewed distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 225-261.
    12. Arellano-Valle, Reinaldo B. & Genton, Marc G. & Loschi, Rosangela H., 2009. "Shape mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 91-101, January.
    13. Mohsen Maleki & Darren Wraith & Reinaldo B. Arellano-Valle, 2019. "A flexible class of parametric distributions for Bayesian linear mixed models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 543-564, June.
    14. Wang, Tonghui & Li, Baokun & Gupta, Arjun K., 2009. "Distribution of quadratic forms under skew normal settings," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 533-545, March.
    15. Adelchi Azzalini, 2012. "Selection models under generalized symmetry settings," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(4), pages 737-750, August.
    16. Kim, Hyoung-Moon & Genton, Marc G., 2011. "Characteristic functions of scale mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(7), pages 1105-1117, August.
    17. Abe, Toshihiro & Fujisawa, Hironori & Kawashima, Takayuki & Ley, Christophe, 2021. "EM algorithm using overparameterization for the multivariate skew-normal distribution," Econometrics and Statistics, Elsevier, vol. 19(C), pages 151-168.
    18. C. Adcock, 2010. "Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution," Annals of Operations Research, Springer, vol. 176(1), pages 221-234, April.
    19. Jorge M. Arevalillo & Hilario Navarro, 2019. "A stochastic ordering based on the canonical transformation of skew-normal vectors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 475-498, June.
    20. Ley, Christophe & Paindaveine, Davy, 2010. "On the singularity of multivariate skew-symmetric models," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1434-1444, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:126:y:2017:i:c:p:1-6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.