An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations
Sign Up to like & getrecommendations! 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… read more here.
Keywords: tail extensions; heavy tail; overview heavy; distribution ... See more keywords