Family of mean-mixtures of multivariate normal distributions: Properties, inference and assessment of multivariate skewness

نویسندگان

چکیده

In this paper, a new mixture family of multivariate normal distributions, formed by mixing distribution and skewed distribution, is constructed. Some properties family, such as characteristic function, moment generating the first four moments are derived. The distributions affine transformations canonical forms model also An EM-type algorithm developed for maximum likelihood estimation parameters. special cases using standard gamma exponential denoted MMNG MMNE , respectively, considered. For proposed different measures skewness computed. order to examine performance method, some simulation studies carried out show that estimates do provide good performance. choices parameters several computed compared. Because scalar vectors, in evaluate them properly, study determine power tests, based on sample versions test statistics testing fit distribution. Finally, two real data sets used illustrate usefulness associated inferential methods.

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ژورنال

عنوان ژورنال: Journal of Multivariate Analysis

سال: 2021

ISSN: ['0047-259X', '1095-7243']

DOI: https://doi.org/10.1016/j.jmva.2020.104679