An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution (Q1613039): Difference between revisions
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Latest revision as of 16:38, 4 June 2024
scientific article
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English | An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution |
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An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution (English)
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5 September 2002
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The normal-inverse Gaussian distribution arises as a normal variance-mean mixture with an inverse Gaussian mixing distribution. This article deals with maximum likelihood estimation of the parameters of the normal-inverse Gaussian distribution. Due to the complexity of the likelihood, direct maximization is difficult. An EM type algorithm is provided for the maximum likelihood estimation of the normal-inverse Gaussian distribution. This algorithm overcomes numerical difliculties occurring when standard numerical techniques are used. An application to a data set concerning the general index of the Athens Stock Exchange is given. Some operating characteristics of the algorithm are discussed.
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scale normal mixtures
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financial data
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hyperbolic distributions
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heavy tailed distributions
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