Journal article
Conditional distributions of multivariate normal mean–variance mixtures
Abstract
In this paper, we show that the conditional distribution of a multivariate normal mean–variance mixture (MNMVM) distribution is also a MNMVM distribution. We show the usefulness of the established result by deriving the conditional distributions of multivariate generalized hyperbolic distribution.
Authors
Jamalizadeh A; Balakrishnan N
Journal
Statistics & Probability Letters, Vol. 145, , pp. 312–316
Publisher
Elsevier
Publication Date
2 2019
DOI
10.1016/j.spl.2018.10.005
ISSN
0167-7152