Contaminated Variance-Mean mixing model
نویسندگان
چکیده
We consider the Generalised Normal Variance-Mean (GNVM) model in which the mixing random variable is Gamma distributed for financial return data. This model generalises the popular Variance-Gamma (VG) distribution. This GNVM model can be interpreted as the addition of noise to a (skew) VG base. In this presentation, we will not only discuss the parameter estimation of the general model, but also discuss how to utilize this noise contamination for desirable results. A simulation study will be used to illustrate the results.
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ورودعنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 67 شماره
صفحات -
تاریخ انتشار 2013