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Advances in Inequalities and Applications ISSN 2050-7461

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Adv. Inequal. Appl. 2014 (2014), Article ID 2

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

Werner Huerlimann

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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.

Published
16 October 2013
Volume
2014 (2014)
License
CC BY 3.0

Copyright © 2013 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.

Cite this article

W. Huerlimann, Normal variance-mean mixtures (I) an inequality between skewness and kurtosis, Adv. Inequal. Appl. 2014 (2014), 2.

BibTeX
@article{Huerlimann2014,
  author  = {Huerlimann, Werner},
  title   = {Normal variance-mean mixtures (I) an inequality between skewness and kurtosis},
  journal = {Adv. Inequal. Appl.},
  volume  = {2014},
  year    = {2014},
  pages   = {2},
  doi     = {}
}