On scale mixtures of normal distributions 论文
1987Biometrika引用 364
Bayesian Methods and Mixture ModelsStochastic processes and statistical mechanicsFinancial Risk and Volatility Modeling
摘要
The exponential power family of distributions of Box & Tiao (1973) is shown to be a subset of the class of scale mixtures of normals. The corresponding mixing distributions are explicitly obtained, identifying a close relationship between the exponential power family and a further class of normal scale mixtures, namely the stable distributions.