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EM-Based Estimation for Hyperbolic Distributions by Georgi Mitov is a document available to read on EtoBox.
This document discusses an EM-based maximum likelihood estimation method for parameters of multivariate generalized hyperbolic distributions, particularly focusing on the Normal Inverse Gaussian (NIG) distribution. The proposed method allows for parameter estimation regardless of dimensionality, overcoming challenges faced in previous approaches for higher dimensions. The method is applied to fit a five-dimensional NIG distribution to foreign exchange rate returns, demonstrating its effectiveness in financi
- Author
- Georgi Mitov
- Language
- EN