The multivariate normal inverse Gaussian heavy-tailed distribution; simulation and estimation

@article{igrd2002TheMN,
  title={The multivariate normal inverse Gaussian heavy-tailed distribution; simulation and estimation},
  author={Tor Arne {\O}ig{\aa}rd and Alfred Hanssen},
  journal={2002 IEEE International Conference on Acoustics, Speech, and Signal Processing},
  year={2002},
  volume={2},
  pages={II-1489-II-1492}
}
The normal inverse Gaussian (NIG) distribution is a recent variance-mean mixture of a Gaussian with an inverse Gaussian distribution. The NIG can serve as a model for data that are heavy-tailed (leptokurtic), and the model was first introduced in empirical finance by Bamdorrf-Nielsen in 1995. In this paper, we present the important extension to multivariate NIG (MNIG) distributions, and we discuss some of the basic properties of the MNIG. We furthermore discuss several new and important… CONTINUE READING

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