Publication:3951375
From MaRDI portal
zbMath0489.62020MaRDI QIDQ3951375
Preben Blæsild, Ole Eiler Barndorff-Nielsen
Publication date: 1981
maximum likelihood estimation; approximation; kurtosis; skewness; generalized hyperbolic distributions; inverse Gaussian distributions; one parameter extension of hyperbolic distributions
62E20: Asymptotic distribution theory in statistics
62F10: Point estimation
60E05: Probability distributions: general theory
62E10: Characterization and structure theory of statistical distributions
Related Items
Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior, A robust statistical approach to select adequate error distributions for financial returns, A general class of scale-shape mixtures of skew-normal distributions: properties and estimation, Bayesian analysis based on the Jeffreys prior for the hyperbolic distribution, Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach, Stock returns and hyperbolic distributions, Fitting bivariate cumulative returns with copulas, Multivariate distribution models with generalized hyperbolic margins, Test of fit for a Laplace distribution against heavier tailed alternatives, Particle filtering approximations for a Gaussian-generalized inverse Gaussian model, Modelling dynamic portfolio risk using risk drivers of elliptical processes, Efficient risk simulations for linear asset portfolios in the \(t\)-copula model, Asymmetric Laplace laws and modeling financial data, Non-Gaussian scenarios for the heat equation with singular initial conditions, A Gaussian-generalized inverse Gaussian finite-dimensional filter., Lévy process-driven asymmetric heteroscedastic option pricing model and empirical analysis, Likelihood-based risk estimation for variance-gamma models, Mixtures of generalized hyperbolic distributions and mixtures of skew-\(t\) distributions for model-based clustering with incomplete data, Improved estimation of clutter properties in speckled imagery., Some properties of the multivariate generalized hyperbolic laws, Finite mixtures of multivariate scale-shape mixtures of skew-normal distributions, On bounds for the mode and median of the generalized hyperbolic and related distributions, Some Stein-type inequalities for multivariate elliptical distributions and applications, Portfolio value at risk based on independent component analysis, On normal variance-mean mixtures, Multivariate elliptical truncated moments, The Use of Inequalities of Camp-Meidell Type in Nonparametric Statistical Process Monitoring