Testing Symmetry of a NIG Distribution

DOI10.1080/03610910500307877zbMath1078.62012OpenAlexW2018450048MaRDI QIDQ5719260

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Publication date: 18 January 2006

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910500307877

zbMATH Keywords

EM algorithmlikelihood ratio testNIG distribution

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10)

Related Items (2)

Nonlinear regression using order statistics from the multivariate generalized hyperbolic distributions ⋮ Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution

Cites Work

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• A hyperbolic diffusion model for stock prices
• Processes of normal inverse Gaussian type
• An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• The normal inverse gaussian lévy process: simulation and approximation
• Apparent scaling

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