An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
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Publication:1613039
DOI10.1016/S0167-7152(02)00040-8zbMath0996.62015MaRDI QIDQ1613039
Publication date: 5 September 2002
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F10: Point estimation
Related Items
Bayesian estimation of NIG models via Markov chain Monte Carlo methods, Testing Symmetry of a NIG Distribution, Approximation of the variance gamma model with a finite mixture of normals, Tests of fit for normal inverse Gaussian distributions, Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution, Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes, Quantile Regression via the EM Algorithm, Simulation and Estimation of the Meixner Distribution
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