Risk

Risk estimation using the normal inverse Gaussian distribution

It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...
IEEE

The Multivariate Normal Inverse Gaussian distribution: EM-estimation and analysis of synthetic aperture sonar data

Abstract: The heavy-tailed Multivariate Normal Inverse Gaussian (MNIG) distribution is a recent variance-mean mixture of a multivariate Gaussian with a univariate inverse Gaussian distribution. Due to ...
Risk

Risk estimation using the multivariate normal inverse Gaussian distribution

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...
Simon Fraser University

Scale Parameter

The scale parameter is 1 for Poisson and binomial distributions. SAS/INSIGHT software provides different scale parameter estimates for normal, inverse Gaussian, and gamma distributions: Note You can ...