| Autor: |
Samary, H., Khodadadi, Z., Jafarpour, H. |
| Předmět: |
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| Zdroj: |
Journal of Mathematical Extension; 2020, Vol. 14 Issue 4, p123-145, 23p |
| Abstrakt: |
In spite of widespread use as well as theoretical properties of the multivariate scale mixture of normal distributions, practical studies show a lack of stability and robustness against asymmetric features such as asymmetry and heavy tails. In this paper, we develop a new multivariate model by assuming the Birnbaum-Saunders distribution for the mixing variable in the scale mixture of the restricted skew-normal distribution. An analytically simple and efficient EM-type algorithm is adopted for iteratively computing maximum likelihood estimate of model parameters. To account standard errors, the observed information matrix is derived analytically by offering an information-based approach. Results obtained from real and simulated datasets are reported to illustrate the practical utility of the proposed methodology. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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