Bayesian estimation of NIG models via Markov chain Monte Carlo methods

DOI10.1002/asmb.544zbMath1063.91035OpenAlexW2099121102MaRDI QIDQ4676865

Dimitris Karlis, Jostein Lillestøl

Publication date: 20 May 2005

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.544

zbMATH Keywords

normal inverse Gaussian distributionheteroscedastic regression

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (2)

Semiparametric estimation in the normal variance-mean mixture model ⋮ Variational Bayes approximations for clustering via mixtures of normal inverse Gaussian distributions

Cites Work

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• The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
• A mixed poisson–inverse‐gaussian regression model
• Realistic Statistical Modelling of Financial Data
• Apparent scaling

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