Finite Mixtures of Multivariate Skew Laplace Distributions

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.