Statistics Seminar
Department of Mathematical Sciences

DATE:Thursday, September 7, 2017
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.