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Finite Mixtures of Multivariate Skew Laplace Distributions (1702.00628v1)
Published 2 Feb 2017 in math.ST and stat.TH
Abstract: In this paper, we propose finite mixtures of multivariate skew Laplace distributions to model both skewness and heavy-tailedness in the heterogeneous data sets. The maximum likelihood estimators for the parameters of interest are obtained by using the EM algorithm. We give a small simulation study and a real data example to illustrate the performance of the proposed mixture model.