Comparison of parameter estimation methods for normal inverse Gaussian distribution-Reference-Cited by-同舟云学术

Comparison of parameter estimation methods for normal inverse Gaussian distribution

Published:2020-01-31 Issue:1 Volume:27 Page:97-108
ISSN:2383-4757
Container-title:Communications for Statistical Applications and Methods
language:en
Short-container-title:CSAM

Author:

Yoon Jeongyoen¹,Kim Jiyeon²,Song Seongjoo¹

Affiliation:

1. Department of Statistics, Korea University, Korea

2. Actuarial Team, KYOBO Life Insurance Co.,Ltd., Korea

Publisher

Communications for Statistical Applications and Methods

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Finance,Modelling and Simulation,Statistics and Probability

Link

http://pdf.medrang.co.kr/CSAM/2020/027/CSAM027-01-07.pdf

Reference19 articles.

1. Exponentially decreasing distributions for the logarithm of particle size

2. Processes of normal inverse Gaussian type

3. Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models

4. Bolance C, Guillen M, Pelican E, and Vernic R (2008). Skewed bivariate models and nonparametric estimation for the CTE risk measure, <italic>Insurance: Mathematics and Economics</italic>, <bold>43</bold>, 386-393.

5. Hyperbolic Distributions in Finance

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