A Mixture of Coalesced Generalized Hyperbolic Distributions

@article{Tortora2019AMO,
  title={A Mixture of Coalesced Generalized Hyperbolic Distributions},
  author={C. Tortora and B. Franczak and Ryan P. Browne and P. McNicholas},
  journal={Journal of Classification},
  year={2019},
  volume={36},
  pages={26-57}
}
A mixture of multiple scaled generalized hyperbolic distributions (MMSGHDs) is introduced. Then, a coalesced generalized hyperbolic distribution (CGHD) is developed by joining a generalized hyperbolic distribution with a multiple scaled generalized hyperbolic distribution. After detailing the development of the MMSGHDs, which arises via implementation of a multi-dimensional weight function, the density of the mixture of CGHDs is developed. A parameter estimation scheme is developed using the… Expand
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