A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering

@article{Forbes2014ANF,
  title={A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering},
  author={Florence Forbes and Darren Wraith},
  journal={Statistics and Computing},
  year={2014},
  volume={24},
  pages={971-984}
}
We propose a family of multivariate heavy-tailed distributions that allow variable marginal amounts of tailweight. The originality comes from introducing multidimensional instead of univariate scale variables for the mixture of scaled Gaussian family of distributions. In contrast to most existing approaches, the derived distributions can account for a variety of shapes and have a simple tractable form with a closed-form probability density function whatever the dimension. We examine a number of… CONTINUE READING