Department of Mathematical Sciences
|Thursday, September 7, 2017
|Yang Fang, Binghamton University
|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.