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    政大機構典藏 > 商學院 > 統計學系 > 期刊論文 >  Item 140.119/18159


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    题名: Testing Symmetry of a NIG Distribution
    作者: 張揖平;洪明欽;劉惠美
    Chang, Yi-Ping;Hung, Ming-Chin;Liu, Huimei;Jan, Jian-Feng
    日期: 2005-12
    上传时间: 2008-12-19 14:51:47 (UTC+8)
    摘要: Heavy-tailed and skewed distributions have recently appeared in many empirical financial studies and many researchers have found that the normal inverse Gaussian (NIG) distribution fits these stylized nonnormal data well and is at the same time analytically tractable. In this article, we propose a likelihood ratio test (LRT) for symmetry of a NIG distribution. Due to the complexity of the likelihood function, an EM type algorithm proposed by Karlis (2002) is used to find the maximum likelihood estimates of the NIG distribution. The conclusions from a simulation study show that the LRT is usually able to achieve the desired significance levels and the testing power increases as the asymmetry increases, i.e., the proposed LRT is successful in detecting the asymmetric behavior of the NIG distribution.
    關聯: Communications in Statistics: Simulation and Computation, 34(4),851-862
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1080/03610910500307877
    DOI: 10.1080/03610910500307877
    显示于类别:[統計學系] 期刊論文

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