Family of extended mean mixtures of multivariate normal distributions: Properties, inference and applications

• Published in: AIMS mathematics Vol. 7; no. 7; pp. 12390 - 12414
• Main Authors: Zhou, Guangshuai, Yin, Chuancun
• Format: Journal Article
• Language: English
• Published: AIMS Press 01.01.2022
• Subjects: em algorithm; matrix skewness parameter; mean mixtures of multivariate normal distribution; multivariate tail conditional expectation; risk measure

A new class of skewed distributions, with a matrix skewness parameter, called extended mean mixtures of multivariate normal (EMMN) distributions, is constructed. The family of EMMN distributions includes the SN and MMN distributions as special cases. Some basic properties of this family, such as cha...