Problem of the Week
Hilton Memorial Lecture
Department of Mathematical Sciences
|DATE:||Thursday, September 7, 2017|
|SPEAKER:||Yang Fang, Binghamton University|
|TITLE:||Bayesian Estimation for the Multivariate Normal Inverse Gaussian Model|
Mixture of multivariate normal inverse Gaussian (MNIG) distributions could be applied to clustering financial data. Parameter estimation of MNIG distribution under Bayesian framework via a Gibbs scheme is provided. The estimation process contains complicate distribution whose simulation is not standard. Application to both simulated and real data are discussed.