Discriminating between the normal inverse Gaussian and generalized hyperbolic skew-t distributions with a follow-up the stock exchange data
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Publication:4987783
DOI10.2298/YJOR170815013PzbMath1465.62162WikidataQ130089690 ScholiaQ130089690MaRDI QIDQ4987783
Publication date: 4 May 2021
Published in: Yugoslav Journal of Operations Research (Search for Journal in Brave)
EM algorithmgoodness-of-fitnormal inverse Gaussian distributionstock exchangegeneralized hyperbolic skew-\(t\) distributionVuong-type test
Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Point estimation (62F10) Exact distribution theory in statistics (62E15)
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