Some covariance models based on normal scale mixtures
نویسندگان
چکیده
منابع مشابه
Dependency Models based on Generalized Gaussian Scale Mixtures and Normal Variance Mean Mixtures
We extend the Gaussian scale mixture model of dependent subspace source densities to include non-radially symmetric densities using Generalized Gaussian random variables linked by a common variance. We also introduce the modeling of skew using the Normal Variance-Mean mixture model. We give closed form expressions for likelihoods and parameter updates in the EM algorithm.
متن کاملon some bayesian statistical models in actuarial science with emphasis on claim count
چکیده ندارد.
15 صفحه اولHeteroscedastic nonlinear regression models based on scale mixtures of skew-normal distributions.
An extension of some standard likelihood based procedures to heteroscedastic nonlinear regression models under scale mixtures of skew-normal (SMSN) distributions is developed. We derive a simple EM-type algorithm for iteratively computing maximum likelihood (ML) estimates and the observed information matrix is derived analytically. Simulation studies demonstrate the robustness of this flexible ...
متن کاملOn scale mixtures of normal distributions
Suppose that Y has a standard normal distribution and that ohas some distribution on (0, oo) with a continuous or discrete density h(o-) (o-> 0). Then the distribution of X = Yois referred to as a scale mixture of normals, and with a scale mixing density h(o-). A wide class of continuous, unimodal and symmetric distributions on the real line may be constructed as scale mixtures of normals. Many...
متن کاملParametric Discrete Choice Models Based on the Scale Mixtures of Multivariate Normal Distributions (running Title: Parametric Discrete Choice Models)
SUMMARY. A rich class of parametric models is proposed for discrete choice data based on the scale mixtures of multivariate normal distributions. With special connections to multinomial probit, the new models can be implemented in a Bayesian framework without much diiculty. The proposed class of models can be extended to panel data where accounting for heterogeneities is needed. This is done by...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bernoulli
سال: 2010
ISSN: 1350-7265
DOI: 10.3150/09-bej226