Search Results - subject:"Generalized inverse"

On the use of the Moore-Penrose generalized inverse in the portfolio optimization problem

Lee, Miyoung; Daehwan, Kim - In: Finance research letters 22 (2017), pp. 259-267

Persistent link: https://www.econbiz.de/10011808176

Bayes estimators of log-normal means with finite quadratic expected loss

Fabrizi, Enrico; Trivisano, Carlo - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2011

expected loss for the most common choices of the loss function. In this paper we propose a generalized inverse Gaussian prior …

Persistent link: https://www.econbiz.de/10011228098

Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models

Deschamps, Philippe J. - Departement für Quantitative Wirtschaftsforschung, … - 2011

Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are...

Persistent link: https://www.econbiz.de/10009367387

The classical braess paradox problem revisited : a generalized inverse method on non-unique path flow cases

Hwang, Ming-Chorng; Cho, Hsun-Jung - In: Networks and spatial economics : a journal of … 16 (2016) 2, pp. 605-622

Persistent link: https://www.econbiz.de/10011658170

Gibbs Sampling Methods for Bayesian Quantile Regression

Kozumi, Hideo; Kobayashi, Genya - Graduate School of Business Administration, Kobe University - 2009

accomplished by sampling from either normal or generalized inverse Gaussian distribution. We also discuss some possible extensions …

Persistent link: https://www.econbiz.de/10011114763

Optimal asymptotic least squares estimation in a singular set-up

Diez de los Rios, Antonio - In: Economics Letters 128 (2015) C, pp. 83-86

In this note, I extend the optimal asymptotic least squares estimation framework to deal with singularities in the asymptotic covariance of the distance function. Further, the relationship between the asymptotic least squares and maximum likelihood estimation frameworks in such a singular set-up...

Persistent link: https://www.econbiz.de/10011208454

Study of compound generalized Nakagami–generalized inverse Gaussian distribution and related densities: application to ultrasound imaging

Gupta, Abhinav; Karmeshu - In: Computational Statistics 30 (2015) 1, pp. 81-96

<Para ID="Par1">A new theoretical probability distribution generalized Nakagami–generalized inverse Gaussian … distribution is a composite distribution derived by compounding generalized Nakagami (GN) and generalized inverse Gaussian (GIG … efficacy of proposed GN–GIGD in relation to Nakagami Gamma and Nakagami–generalized inverse Gaussian distributions is …

Persistent link: https://www.econbiz.de/10011241309

Variance-mean mixture of the multivariate skew normal distribution

Arslan, Olcay - In: Statistical Papers 56 (2015) 2, pp. 353-378

–mean mixture distributions class. The new class results from a variance-mean mixture of the skew normal and the generalized inverse …

Persistent link: https://www.econbiz.de/10011241323

Optimal asymptotic least squares estimation in a singular set-up

Díez de los Ríos, Antonio - In: Economics letters 128 (2015), pp. 83-86

Persistent link: https://www.econbiz.de/10011383022

Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties

Vilca, Filidor; Balakrishnan, N.; Zeller, Camila Borelli - In: Journal of Multivariate Analysis 128 (2014) C, pp. 73-85

The Generalized Inverse Gaussian (GIG) distribution has found many interesting applications; see Jørgensen [24]. This …

Persistent link: https://www.econbiz.de/10011042075