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The exponentiated generalized inverse Gaussian distribution
Statistics & Probability Letters, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lemonte, Artur J., Cordeiro, Gauss M.
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First hitting time models for the generalized inverse Gaussian distribution
Stochastic Processes and their Applications, 1978 AbstractAny generalized inverse Gaussian distribution with a non-positive power parameter is shown to be the distribution of the first hitting time of level 0 for each of a variety of time-homogeneous diffusions on the interval [0, ∞). The infinite divisibility of the generalized inverse Gaussian distributions is a simple consequence of this and an ...
Barndorff-Nielsen, O. +2 more
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A Generator for Generalized Inverse Gaussian Distributions
, 2022 We propose a new generator for the generalized inverse Gaussian (GIG) distribution by decomposing the density of GIG into two components. The first component is a truncated inverse Gamma density, in order to sample from which we improve the traditional inverse CDF method.
Zhang, Xiaozhu, Reiter, Jerome P.
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Gibbs Sampler for Matrix Generalized Inverse Gaussian Distributions
Journal of Computational and Graphical Statistics, 2023 Sampling from matrix generalized inverse Gaussian (MGIG) distributions is required in Markov Chain Monte Carlo (MCMC) algorithms for a variety of statistical models. However, an efficient sampling scheme for the MGIG distributions has not been fully developed.
Hamura, Yasuyuki +2 more
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A Monte Carlo Approach to Bitcoin Price Prediction with Fractional Ornstein–Uhlenbeck Lévy Process
Forecasting, 2022 Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the general population to institutional investors. Several models, from GARCH type to jump-diffusion type, have been developed to dynamically capture the price ...
Jules Clément Mba +2 more
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Adaptive Subspace Signal Detection in Structured Interference Plus Compound Gaussian Sea Clutter
Remote Sensing, 2022 This paper discusses the problem of detecting subspace signals in structured interference plus compound Gaussian sea clutter with persymmetric structure.
Zeyu Wang +4 more
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Sampling High-Dimensional Gaussian Distributions for General Linear Inverse Problems [PDF]
IEEE Signal Processing Letters, 2012 This paper is devoted to the problem of sampling Gaussian distributions in high dimension. Solutions exist for two specific structures of inverse covariance: sparse and circulant. The proposed algorithm is valid in a more general case especially as it emerges in linear inverse problems as well as in some hierarchical or latent Gaussian models.
Orieux, François +2 more
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Tsallis Entropy, Likelihood, and the Robust Seismic Inversion
Entropy, 2020 The nonextensive statistical mechanics proposed by Tsallis have been successfully used to model and analyze many complex phenomena. Here, we study the role of the generalized Tsallis statistics on the inverse problem theory.
Igo Pedro de Lima +3 more
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Scientific African, 2023 This study introduces a new conditional innovation density called the generalized odd generalized exponentiated skew-t (GOGEST) distribution for the generalized autoregressive conditional heteroscedasticity (GARCH) volatility models.
O.D. Adubisi, A. Abdulkadir, D.J. Adashu
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Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China
SAGE Open, 2021 The purpose of this article is to analyze the dependence between Brazil, Russia, India, and China (BRIC) stock markets, adjusting the multivariate Normal Inverse Gaussian probability distribution (NIG) in 2010–2019 on data yields.
Leovardo Mata Mata +2 more
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