Nuerxiati Abudurexiti

Mixing-Law Uncertainty in Multivariate Normal Mean-Variance Mixtures: Semi-parametric Estimation and Robust Cumulative-Prospect Decisions

The distribution of a normal mean-variance mixture depends on the law of its positive mixing variable. We compare six parametric mixing laws with a grid nonparametric maximum likelihood estimator under the same determinant identification constraint. The mixing mean $m=\E(Z)$ is estimated and is not fixed at one. A pair...