Browsing NHH Brage by Subject "Gaussian distribution"

Now showing items 1-1 of 1

    • Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods 

      Lillestøl, Jostein (Discussion paper, Working paper, 2001-01)
      The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian ...