Contaminated Variance-Mean mixing model

Thomas Fung*, Joanna J J Wang, Eugene Seneta

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review


    The Generalised Normal Variance-Mean (GNVM) model in which the mixing random variable is Gamma distributed is considered. This model generalises the popular Variance-Gamma (VG) distribution. This GNVM model can be interpreted as the addition of noise to a (skew) VG base. The discussion is based on goodness of fit criteria and on parameter estimation. The conclusion is that the shape of the VG distribution can be adjusted in a favourable way by adding noise.

    Original languageEnglish
    Pages (from-to)258-267
    Number of pages10
    JournalComputational Statistics and Data Analysis
    Publication statusPublished - 2013


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