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arXiv · 2005.06883

On mean and/or variance mixtures of normal distributions

Sharon X. Lee·Geoffrey J. McLachlan
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Abstract

Parametric distributions are an important part of statistics. There is now a voluminous literature on different fascinating formulations of flexible distributions. We present a selective and brief overview of a small subset of these distributions, focusing on those that are obtained by scaling the mean and/or covariance matrix of the (multivariate) normal distribution with some scaling variable(s). Namely, we consider the families of mean mixture, variance mixture, and mean-variance mixture of normal distributions. Its basic properties, some notable special/limiting cases, and parameter estimation methods are also described.

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Sharon X. Lee, Geoffrey J. McLachlan. 2020-05-14. On mean and/or variance mixtures of normal distributions. https://arxiv.org/abs/2005.06883

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