On robust algorithm for finding maximum likelihood estimation of the generalized inverse Gaussian distribution

DOI10.1007/S10958-016-3035-3zbMATH Open1403.62033OpenAlexW2518759018MaRDI QIDQ341740FDOQ341740

Authors: I. Yaroshenko 

Publication date: 17 November 2016

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-016-3035-3

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zbMATH Keywords

maximum likelihood estimationgeneralized inverse Gaussian distributionrobust algorithm

Mathematics Subject Classification ID

Point estimation (62F10) Numerical mathematical programming methods (65K05)

Cites Work

• Algorithm 748: enclosing zeros of continuous functions
• Title not available (Why is that?)
• A Simplex Method for Function Minimization
• THE POPULATION FREQUENCIES OF SPECIES AND THE ESTIMATION OF POPULATION PARAMETERS
• Numerical recipes. The art of scientific computing.
• Inequalities for Zero-Balanced Hypergeometric Functions
• Title not available (Why is that?)
• Title not available (Why is that?)
• On some inequalities for the gamma and psi functions
• Intermediate Probability
• Title not available (Why is that?)
• On the numerical evaluation of the modified Bessel function of the third kind
• Title not available (Why is that?)
• On Temme's Algorithm for the Modified Bessel Function of the Third Kind
• Accurate computation of F′(x) and F′(x) F″(x)

Cited In (2)

• The true maximum-likelihood estimators for the generalized Gaussian distribution with \(p=3,4,5\)
• An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution

Uses Software

• RROOT_748
• Algorithm 748
• BRENT
• Atmosphere

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