Normal variance-mean mixtures (I) an inequality between skewness and kurtosis

Werner Huerlimann

Abstract


It is shown that the ratio of squared skewness to kurtosis for the normal variance-mean mixture model is bounded above by the same ratio for the mixing distribution. Illustrations include the generalized hyperbolic distribution, the normal tempered stable distribution and a mixture model with log-normal mixing distribution.


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Published: 2013-10-16

How to Cite this Article:

Werner Huerlimann, Normal variance-mean mixtures (I) an inequality between skewness and kurtosis, Advances in Inequalities and Applications, Vol 2014 (2014), Article ID 2

Copyright © 2014 Werner Huerlimann. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Advances in Inequalities and Applications

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