Generalized inverse Gaussian distributionVarying parametersThe generalized inverse Gaussian distribution has become quite popular in financial engineering. The most popular random variate generator is due to Dag
1. PDF generalized inverse Gaussian distribution (GIG) 是一个三参数的连续型概率分布: f(x)=(a/b)p/22Kp(ab−−√)xp−1e−(ax+b/x)/2,x>0 Kp(⋅):表示二阶(second kind)的修正的贝塞尔函数(modified Bessel functions),p表示索引,其两个参数a,b≥0 3. 修正的贝塞尔函数的性质 对称...
Since inverse gamma distribution, gamma distribution, and inverse Gaussian distribution are three special cases of generalized inverse Gaussian distribution, CG-GIG distribution can contain K distribution, Student's t distribution, and CG-IG distribution at the same time. In theory, compared with the ...
1. PDF generalized inverse Gaussian distribution (GIG) 是一个三参数的连续型概率分布: f(x)=(a/b)p/22Kp(ab−−√)xp−1e−(ax+b/x)/2,x>0 Kp(⋅):表示二阶(second kind)的修正的贝塞尔函数(modified Bessel functions),p 表示索引,其两个参数 a,b≥0 3. 修正的贝塞尔函数的性质 对...
'normal' Normal distribution 'binomial' Binomial distribution 'poisson' Poisson distribution 'gamma' Gamma distribution 'inverse gaussian' Inverse Gaussian distribution Example: 'Distribution','gamma' Exclude— Observations to exclude logical or numeric index vector Observations to exclude from the fit, spe...
'normal' Normal distribution 'binomial' Binomial distribution 'poisson' Poisson distribution 'gamma' Gamma distribution 'inverse gaussian' Inverse Gaussian distribution Example: 'Distribution','gamma' Exclude— Observations to exclude logical or numeric index vector Observations to exclude from the fit, spe...
Poisson distribution Continuous distributions Gamma distributions Inverse Gamma distributions Inverse Gaussian distributions Others: Chi-square, Beta, Binomial,Negative binomial distributions. 3 One-parameter canonical exponential family 3.1 Definition Canonical exponential family fork=1k=1,y∈Ry∈R ...
'normal' Normal distribution 'binomial' Binomial distribution 'poisson' Poisson distribution 'gamma' Gamma distribution 'inverse gaussian' Inverse Gaussian distribution Example: 'Distribution','gamma' Exclude— Observations to exclude logical or numeric index vector Observations to exclude from the fit, spe...
(2019) derive an ECME algorithm to estimate the parameters iteratively, by 13 396 Digital Finance (2023) 5:389–420 exploiting the mixed normal representation of the GHyp distribution, with the mix- ing distribution being the generalized inverse Gaussian distribution (GIG). Its use yields a ...
'gamma' Gamma distribution 'inverse gaussian' Inverse Gaussian distribution Example: 'Distribution','gamma' Exclude— Observations to exclude logical or numeric index vector Observations to exclude from the fit, specified as a logical or numeric index vector indicating which observations to exclude from...