Abstract
In this article, normal inverse Gaussian (NIG) autoregressive model is introduced. The parameters of the model are estimated using expectation maximization (EM) algorithm. The efficacy of the EM algorithm is shown using simulated and real-world financial data. It is shown that NIG autoregressive model fit very well on the considered financial data and hence could be useful in modelling of various real-life time-series data.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Advances in Engineering Sciences and Applied Mathematics
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
