Sökning: "normal inverse Gaussian"

Visar resultat 1 - 5 av 13 avhandlingar innehållade orden normal inverse Gaussian.

1. 1. On the Normal Inverse Gaussian Distribution in Modeling Volatility in the Financial Markets

   Författare :Lars Forsberg; Luc Bauwens; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Volatility modeling; inverse Gaussian; normal inverse Gaussian; realized volatility; GARCH; Informatik; data- och systemvetenskap; Informatics; computer and systems science; Informatik; data- och systemvetenskap; statistik; Statistics;

   Sammanfattning : We discuss the Normal inverse Gaussian (NIG) distribution in modeling volatility in the financial markets. Refining the work of Barndorff-Nielsen (1997) and Andersson (2001), we introduce a new parameterization of the NIG distribution to build the GARCH(p,q)-NIG model. LÄS MER

3. 2. Spatial Mixture Models with Applications in Medical Imaging and Spatial Point Processes

   Författare :Anders Hildeman; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Non-Gaussian; Bayesian level set inversion; Point processes; Substitute CT; Finite mixture models; Spatial statistics; Gaussian fields; Non-Gaussian;

   Sammanfattning : Finite mixture models have proven to be a great tool for both modeling non-standard probability distributions and for classification problems (using the latent variable interpretation). In this thesis we are building spatial models by incorporating spatially dependent categorical latent random fields in a hierarchical manner similar to that of finite mixture models. LÄS MER

4. 3. Some Contributions to Statistical Disclosure Control

   Författare :Michael Carlson; Mark Elliot; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Data dissemination; Data-swapping; Disclosure control; Poisson-inverse Gaussian; Risk-per-record; Superpopulation; Uniqueness; Mathematical statistics; Matematisk statistik; statistik; Statistics;

   Sammanfattning : An important issue associated with the release of statistical data, is the possibility of disclosing individual information about respondents. Statistical disclosure control (SDC), is the discipline that deals with methods of producing statistical data that are safe enough to be released while retaining its analytical value and also methods of assessing the disclosures risks. LÄS MER

5. 4. Bayesian Inference in Structural Second-Price Auctions

   Författare :Bertil Wegmann; Mattias Villani; Samita Sareen; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Asymmetry; Bid function approximation; Common values; Gamma model; Gaussian model; Markov Chain Monte Carlo; Private values; Variable selection; Internet auctions; Statistics; Statistik; Statistics; statistik;

   Sammanfattning : The aim of this thesis is to develop efficient and practically useful Bayesian methods for statistical inference in structural second-price auctions. The models are applied to a carefully collected coin auction dataset with bids and auction-specific characteristics from one thousand Internet auctions on eBay. LÄS MER

7. 5. On functions of a Wishart matrix and a normal vector with applications

   Författare :Edward Ngailo; Taras Bodnar; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical Statistics; matematisk statistik;

   Sammanfattning : This thesis consists of two papers which take a critical look on functions of an inverse Wishart matrix and a Gaussian vector. In the first paper, the product expression, of which the inverse of the pooled estimator of the covariance matrix is inverse Wishart distributed and the difference of sample means is multivariate normally distributed, is investigated by exploring the distributional properties via a stochastic representation for both the finite sample case and the infinite sample case under the large-dimensional asymptotic regime. LÄS MER