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EM-ALGORITHM FOR A NORMAL-WEIGHTED INVERSE GAUSSIAN DISTRIBUTION: NORMAL-RECIPROCAL INVERSE GAUSSIAN DISTRIBUTION
Keywords:
modified Bessel function of the third kind, generalized inverse Gaussian distribution, weighted distribution, finite mixture, EM-algorithm.DOI:
https://doi.org/10.17654/0972361722001Abstract
The objective of this paper is to use a special case of the weighted inverse Gaussian distribution as a mixing distribution for normal variance-mean mixture. We obtain the properties, estimate the maximum likelihood parameters via the EM-algorithm and apply the model to some financial data. The result shows that the normal-reciprocal inverse Gaussian fits the data well just as normal inverse Gaussian.
Received: April 11, 2021
Revised: October 23, 2021
Accepted: December 12, 2021
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