EM-estimation and modeling of heavy-tailed processes with the multivariate normal inverse Gaussian distribution

DOI10.1016/j.sigpro.2005.03.005zbMath1160.94355OpenAlexW2004152321MaRDI QIDQ1017106

Fred Godtliebsen, Roy Edgar Hansen, Alfred Hanssen, Tor Arne Øigård

Publication date: 18 May 2009

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2005.03.005

zbMATH Keywords

estimationheavy tailsEM-algorithmmultivariate

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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