An EM algorithm for multivariate NIG distribution and its application to value-at-risk (Q3064890)
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scientific article; zbMATH DE number 5829520
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| default for all languages | No label defined |
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| English | An EM algorithm for multivariate NIG distribution and its application to value-at-risk |
scientific article; zbMATH DE number 5829520 |
Statements
27 December 2010
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multivariate normal-inverse Gaussian distribution
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EM algorithm
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value-at-risk
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0.8436647057533264
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0.817660391330719
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0.7779979705810547
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0.7685844302177429
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