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Published in 2022 at "Journal of Applied Statistics"
DOI: 10.1080/02664763.2022.2044018
Abstract: Many extensions of the multivariate normal distribution to heavy-tailed distributions are proposed in the literature, which includes scale Gaussian mixture distribution, elliptical distribution, generalized elliptical distribution and transelliptical distribution. The inferences for each family of…
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Keywords:
tail extensions;
heavy tail;
overview heavy;
distribution ... See more keywords