Search Results - subject:"generalized inverse Gaussian"

A Generalized Hyperbolic model for a risky asset with dependence

Finlay, Richard; Seneta, Eugene - In: Statistics & Probability Letters 82 (2012) 12, pp. 2164-2169

driven by Lévy noise. It unifies, on the basis of self-decomposability of the Generalized Inverse Gaussian (GIG) distribution …

Persistent link: https://www.econbiz.de/10010580421

Winding planar probabilities

Misiewicz, Jolanta; Wesołowski, Jacek - In: Metrika 75 (2012) 4, pp. 507-519

Persistent link: https://www.econbiz.de/10010995140

Bayesian estimation of generalized hyperbolic skewed student GARCH models

Deschamps, Philippe J. - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3035-3054

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/10010617630

The Sichel model and the mixing and truncation order

Puig, Xavier; Ginebra, Josep; Font, Marti - In: Journal of Applied Statistics 37 (2010) 9, pp. 1585-1603

-truncated generalized inverse Gaussian-Poisson mixture models are very helpful in the analysis of these kinds of data because their model …

Persistent link: https://www.econbiz.de/10008674944

Regressional Characterization of the Generalized Inverse Gaussian Population

Pusz, J. - In: Annals of the Institute of Statistical Mathematics 49 (1997) 2, pp. 315-319

Persistent link: https://www.econbiz.de/10005395638