most citedThe generalized hyperbolic family and automatic model selection through the multiple-choice LASSO

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stat.ME2023★ 1 cited

The generalized hyperbolic family and automatic model selection through the multiple-choice LASSO

Luca Bagnato, Alessio Farcomeni, Antonio Punzo

We revisit the generalized hyperbolic (GH) distribution and its nested models. These include widely used parametric choices like the multivariate normal, skew-t, Laplace, and sever…