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

JOURNAL OF MULTIVARIATE ANALYSIS

卷:181

Article

Abdi, Me'raj¹  Madadi, Mohsen¹  Balakrishnan, Narayanaswamy²  Jamalizadeh, Ahad¹ 

[1] Shahid Bahonar Univ Kerman, Dept Stat, Fac Math & Comp, Kerman, Iran

[2] McMaster Univ, Dept Math & Stat, Hamilton, ON, Canada

关键词: Canonical form;    EM algorithm;    Mean mixtures of normal distribution;    Moments;    Multivariate measures of skewness;   

DOI  :  10.1016/j.jmva.2020.104679

来源: Elsevier

【 摘 要 】

In this paper, a new mixture family of multivariate normal distributions, formed by mixing multivariate normal distribution and a skewed distribution, is constructed. Some properties of this family, such as characteristic function, moment generating function, and the first four moments are derived. The distributions of affine transformations and canonical forms of the model are also derived. An EM-type algorithm is developed for the maximum likelihood estimation of model parameters. Some special cases of the family, using standard gamma and standard exponential mixture distributions, denoted by MMNG and MMNE, respectively, are considered. For the proposed family of distributions, different multivariate measures of skewness are computed. In order to examine the performance of the developed estimation method, some simulation studies are carried out to show that the maximum likelihood estimates do provide a good performance. For different choices of parameters of MMNE distribution, several multivariate measures of skewness are computed and compared. Because some measures of skewness are scalar and some are vectors, in order to evaluate them properly, a simulation study is carried out to determine the power of tests, based on sample versions of skewness measures as test statistics for testing the fit of the MMNE distribution. Finally, two real data sets are used to illustrate the usefulness of the proposed model and the associated inferential methods. (C) 2020 Elsevier Inc. All rights reserved.

【 授权许可】

Free