Abstract
Pareto scale mixtures are very effective for modelling heavy-tailed data. A new class of models is described, generalizing commonly used slash distributions. Mixture properties and possible applications are discussed.
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Notes
- 1.
Denoted sometimes as the extended Gaussian–Laplace distribution. For β = 0 we have the Gaussian distribution and for β = 1 the Laplace distribution.
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Acknowledgements
Research partially sponsored by national funds through the Fundação Nacional para a Ciência e Tecnologia, Portugal FCT under the project (PEst-OE/MAT/UI0006/ 2011).
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Felgueiras, M.M. (2013). Pareto Scale Mixtures. In: Lita da Silva, J., Caeiro, F., Natário, I., Braumann, C. (eds) Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications. Studies in Theoretical and Applied Statistics(). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-34904-1_29
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DOI: https://doi.org/10.1007/978-3-642-34904-1_29
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