Risk measures for skew normal mixtures

Shape mixtures of multivariate skew-normal distributions

Classes of shape mixtures of independent and dependent multivariate skew-normal distributions are considered and some of their main properties are studied. If interpreted from a Bayesian point of view, the results obtained in this paper bring tractability to the problem of inference for the shape parameter, that is, the posterior distribution can be written in analytic form. Robust inference fo...

Penalized Maximum Likelihood Estimator for Skew Normal Mixtures

Skew normal mixture models provide a more flexible framework than the popular normal mixtures for modelling heterogeneous data with asymmetric behaviors. Due to the unboundedness of likelihood function and the divergency of shape parameters, the maximum likelihood estimators of the parameters of interest are often not well defined, leading to dissatisfactory inferential process. We put forward ...

On the multivariate Skew-Normal distribution and its scale mixtures

In this paper we study the multivariate skew-normal distribution and its scale mixtures, as extensions of the similar non-skewed distributions. Different parameterizations and some properties are investigated. ∗ Subject Classification: 60E05.

Characteristic functions of scale mixtures of multivariate skew-normal distributions

Cumulative Risk Estimation for Chemical Mixtures

In reality, humans are always exposed to a combination of toxic substances and seldom to a single agent. Simultaneous exposure to a multitude of chemicals could result in unexpected consequences. The combined risk may lead to greater or less than a simple summation of the effects induced by chemicals given individually. Here, a method is proposed for estimating the cumulative risk which is the ...