Normal-inverse Gaussian distribution
Regime Switching And Levy Jump Dynamics In Option Adjusted Spreads
... type distribution is a relatively novel process introduced by Barndorff-Neilsen [7] as a model for log returns of stock ...NIG distribution provides an excellent fit to log returns of stock market data ...
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Modeling and forecasting foreign exchange daily closing prices with normal inverse Gaussian
... with normal inverse Gaussian distribution and their fu- ture prices forcasted with NIG-Lévy ...NIG distribution, but future prices can be forcasted with NIG-Lévy process; almost the ...
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Robustness of Bayesian results for Inverse Gaussian distribution under ML II epsilon contaminated and Edgeworth Series class of prior distributions
... two-parameter inverse Gaussian (IG) distribution, as a first passage time distribution in Brownian motion, found a variety of applications in the life testing, reliability and financial ...
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Fractal Statistics and Data Roughness
... from normal distribution approach to statistical fractals as follows: “The Gaussian probability distribution used widely for analysis and description of large data sets underestimates the ...
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Outperforming the naïve Random Walk forecast of foreign exchange daily closing prices using Variance Gamma and normal inverse Gaussian Levy processes
... Table A.2 outlines the summary statistics of our return data. With these, it is clear that our distribution must be heavy tailed, and just like the NIG, the VG has semi heavy tails. Parameters are estimated using ...
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Normal inverse Gaussian approximation for arrival time difference in flow induced molecular communications
... In this letter, we present an approximation of the distribution of the difference between two IG-distributed random variables by a normal inverse Gaussian (NIG) distribution. Through ...
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A More Robust Random Effects Model for Disease Mapping
... effect distribution by considering the Inverse Gaussian (IG) distribution in the disease mapping ...The distribution has the normal distribution as special ...IG ...
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Assessing misspecification of individual homogeneity assumption in multi-state models based on asymptotic theory
... gamma distribution for frailty ...and inverse Gaussian distributions for heterogeneity (individual frailty factor) and studies based on individual homogeneous multi-state models, also confirms the ...
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Tests of Fit for Normal Variance Inverse Gaussian Distributions
... the Gaussian hypothe- sis for the long term (unconditional) distribution of finan- cial ...are Gaussian, with a stochastic (latent) ...the inverse Gaussian for modelling the stochastic ...
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Moments of the generalized hyperbolic distribution
... In this paper we demonstrate a recursive method for obtaining the moments of the gener- alized hyperbolic distribution. The method is readily programmable for numerical evaluation of moments. For low order moments ...
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Generalized Exponential Models with Applications
... generalized inverse Gaussian distribution, which was pop- ularized in the late seventies by Ole Barndorff-Neilsen, is also extended by incorporating an additional parameter in its density function, ...
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Generalized Hyperbolic Distributions And Value-At-Risk Estimation For The South African Mining Index
... the normal-inverse Gaussian (NIG) and the generalized hyperbolic (GH) skew Student’s t-distributions, are utilized for modeling the South African Mining Index ...hyperbolic distribution has ...
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A modified Bessel distribution of the second kind
... Univariate Bessel function distributions are rapidly becoming distributions of first choice whenever “something” with heavier than Gaussian tails is observed in the data. They have been used to model: signal ...
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Assessing The Relative Performance Of Heavy-Tailed Distributions: Empirical Evidence From The Johannesburg Stock Exchange
... topic of ongoing research is the identification of the most suitable and accurate distribution to fit financial returns data. Accomplishing such novel finding may prove particularly useful in the context of ...
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Cognitive Radio Performance Analysis and Threshold Optimization of Energy Detection over Inverse Gaussian Channel with Selection Combining Reception
... Abstract: The performance of spectrum sensing based on energy detection method in cognitive radio networks over inverse Gaussian channel for selection combining diversity technique is investigated. More ...
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EMPIRICAL BAYES ANALYSIS OF TWO-FACTOR EXPERIMENTS UNDER INVERSE GAUSSIAN MODEL
... A two-factor experiment with interaction between factors wherein observations follow an Inverse Gaussian model is considered. Analysis of the experiment is approached via an empirical Bayes procedure. The ...
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Modeling Claims of Oil & Gas Nigeria Insurance Class of Business with Extreme Value Theory
... With VaR methods, no assumptions are made about the nature of the original distribution of all the observations. Some EVT techniques can be used to solve for very high quantiles, which is very useful for ...
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A Mixed-Stable Approach to the Management of the Portfolio Using High-Frequency Financial Data
... The yearly time series that are used in this study con- tain between two and twenty percent of zeros with the time step of 16 minutes. To deal with this stagnation effect, the mixed-stable model [12, 14] is employed. ...
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Affinity Inequality among Serum Antibodies That Originate in Lymphoid Germinal Centers
... Studies of Ab binding to haptens confirmed and extended previous work on more complex immunogens. Haptens used either to inhibit specific precipitation of Abs from antisera by hap- tenated Ags (hapten-inhibition) [4], or ...
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Survival Analysis of Time-to-First birth after marriage in Nigeria using three parameter inverse gaussian distribution
... The distribution of FBI identified from exploratory data analysis is inverse Gaussian and is subsequently adopted to construct the survival model for the ...new distribution is developed for ...
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