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Conditional distributions of multivariate normal mean–variance mixtures

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  • Jamalizadeh, Ahad
  • Balakrishnan, Narayanaswamy

Abstract

In this paper, we show that the conditional distribution of a multivariate normal mean–variance mixture (MNMVM) distribution is also a MNMVM distribution. We show the usefulness of the established result by deriving the conditional distributions of multivariate generalized hyperbolic distribution.

Suggested Citation

  • Jamalizadeh, Ahad & Balakrishnan, Narayanaswamy, 2019. "Conditional distributions of multivariate normal mean–variance mixtures," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 312-316.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:312-316
    DOI: 10.1016/j.spl.2018.10.005
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    References listed on IDEAS

    as
    1. Kjersti Aas & Ingrid Hobaek Haff, 2006. "The Generalized Hyperbolic Skew Student's t-Distribution," Journal of Financial Econometrics, Oxford University Press, vol. 4(2), pages 275-309.
    2. Peng Ding, 2016. "On the Conditional Distribution of the Multivariate Distribution," The American Statistician, Taylor & Francis Journals, vol. 70(3), pages 293-295, July.
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