Discriminating between the normal inverse Gaussian and generalized hyperbolic skew-t distributions with a follow-up the stock exchange data

DOI10.2298/YJOR170815013PMaRDI QIDQ4987783zbMATH OpenWikidataFDO

Authors Hanieh Panahi

Publication date 4 May 2021

Published in Yugoslav Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/YJOR170815013P

zbMATH Keywords

EM algorithmgeneralized hyperbolic skew-\(t\) distributiongoodness-of-fitnormal inverse Gaussian distributionstock exchangeVuong-type test

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Parametric hypothesis testing (62F03) Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Bayesian Chi-Squared Goodness-of-Fit Test for Censored Data Models
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• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Estimating the parameters of a Burr distribution under progressive type II censoring
• Estimation and prediction for a unified hybrid-censored Burr type XII distribution
• Estimation of parameters from progressively censored data using EM algorithm
• Estimation of the Burr type III distribution with application in unified hybrid censored sample of fracture toughness
• Finite mixtures of canonical fundamental skew t-distributions. The unification of the restricted and unrestricted skew t-mixture models
• Goodness-of-fit tests and applications for left-truncated Weibull distributions to non-life insurance
• Goodness-of-fit tests for progressively type-II censored data from location-scale distributions
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• On Information and Sufficiency
• On progressively censored generalized exponential distribution
• Parametric bootstrap goodness-of-fit testing for Wehrly-Johnson bivariate circular distributions
• The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data

Cited in

(4)

• A comparison of generalized hyperbolic distribution models for equity returns
• Testing Symmetry of a NIG Distribution
• Selecting from among 12 alternative distributions of financial data
• Computational aspects of likelihood-based inference for the univariate generalized hyperbolic distribution

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