Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods

Jostein Lillestøl

The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. -- Normal Inverse Gaussian distribution ; Bayesian Analysis ; Markov Chain Monte Carlo

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Year of publication:	2000 ; Rev.
Authors:	Lillestøl, Jostein
Institutions:	Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (contributor)
Publisher:	Berlin : Humboldt-Universität
Subject:	Markov-Kette \| Markov chain \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Bayes-Statistik \| Bayesian inference \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| Statistische Verteilung \| Statistical distribution \| Finanzmarkt \| Financial market \| Kapitaleinkommen \| Capital income \| Börsenkurs \| Share price \| Großbritannien \| United Kingdom