Contaminated Variance-Mean mixing model

Publication Type:
Journal Article
Citation:
Computational Statistics and Data Analysis, 2013, 67 pp. 258 - 267
Issue Date:
2013-07-03
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The Generalised Normal Variance-Mean (GNVM) model in which the mixing random variable is Gamma distributed is considered. This model generalises the popular Variance-Gamma (VG) distribution. This GNVM model can be interpreted as the addition of noise to a (skew) VG base. The discussion is based on goodness of fit criteria and on parameter estimation. The conclusion is that the shape of the VG distribution can be adjusted in a favourable way by adding noise. © 2013 Elsevier B.V. All rights reserved.
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