Finite Mixtures of Multivariate Skew Laplace Distributions

Abstract

This paper proposes finite mixtures of multivariate skew Laplace distributions in order to model both skewness and heavy-tailedness in heterogeneous data sets. Maximum likelihood estimators for the parameters of interest are obtained using the EM algorithm. The paper offers a small simulation study and a real data example to illustrate the performance of the proposed mixture model.

Keywords

• EM algorithm
• ML estimation
• multivariate mixture model
• MSL