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Statistics Seminar
Department of Mathematical Sciences
DATE: | Thursday, September 7, 2017 |
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TIME: | 1.15p-2.15p |
LOCATION: | WH 100E |
SPEAKER: | Yang Fang, Binghamton University |
TITLE: | Bayesian Estimation for the Multivariate Normal Inverse Gaussian Model |
Abstract
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.