TL;DR介绍了广义双曲线分布的混合模型,相对于高斯混合分布以及其中的多元 t 分布和偏 t 分布,具有一定的优势性能。通过仿真和真实数据,展示了其在参数估计、聚类以及密度估计中的应用和效能。
Abstract
We introduce a mixture of generalized hyperbolic distributions as an
alternative to the ubiquitous mixture of Gaussian distributions as well as
their near relatives of which the mixture of multivariate t and skew-t
distributions are predominant. The mathematical development of our mixt