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Gaussian Scale Mixtures
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Orientador(es)
Resumo(s)
In this paper we present a parsimonious approximation of a Gaussian mixture when its components share a common mean value, i.e. a scale mixture. We show that a shifted and scaled Student’s t -distribution can be approximated to this type of mixture, and use the result to develop a hypothesis test for the equality of the components mean value. A simulation study to check the quality of the approximation is also provided, together with an application to logarithmic daily returns.
Descrição
Palavras-chave
Gaussian scale mixture Student’s t -distribution Log-returns Simulation
Contexto Educativo
Citação
Felgueiras, Miguel & Martins, J.P. & Santos, Rui. (2017). Gaussian scale mixtures. 11. 1-10
Editora
European Society of Computational Methods in Sciences and Engineering (ESCMSE)
Licença CC
Sem licença CC