A Mixture of Coalesced Generalized Hyperbolic Distributions
نویسندگان
چکیده
A mixture of coalesced generalized hyperbolic distributions (GHDs) is developed by joining a finite mixture of generalized hyperbolic distributions with a novel mixture of multiple scaled generalized hyperbolic distributions (MSGHDs). After detailing the development of the mixture of MSGHDs, which arises via implementation of a multidimensional weight function, the density of our coalesced distribution is developed. A parameter estimation scheme is developed using the ever-expanding class of MM algorithms and the Bayesian information criterion is used for model selection. We use our mixture of coalesced GHDs for clustering and compare them to mixtures of GHDs, mixtures of MSGHDs, and mixtures of skew-t distributions using simulated and real data.
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