Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution (Q2244851)
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scientific article
| Language | Label | Description | Also known as |
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| English | Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution |
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Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution (English)
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12 November 2021
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The likelihood ratio test is proposed towards the goal of examining hypotheses concerning the skewness parameter of a generalized hyperbolic distribution. The maximum likelihood estimates are found through the EM algorithm. In order to demonstrate the performance and robustness of the test, simulation studies are undertaken. Additionally, experiments are performed on the wind speed and the Chilean stock market data sets.
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EM algorithm
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generalized hyperbolic distribution
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gradient test
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likelihood ratio test
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normal inverse Gaussian distribution
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