Grouped Normal Variance Mixtures
Grouped normal variance mixtures are a class of multivariate distributions that generalize classical normal variance mixtures such as the multivariate <i>t</i> distribution, by allowing different groups to have different (comonotone) mixing distributions. This allows one to better model...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-10-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/8/4/103 |