2 results for “Generalized Inverse Gaussian Distribution”

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Research ArticleOpen accessPhrase in the titleCharacterizations for the Power Inverse Gaussian and Generalized Inverse Gaussian Distributions Based on Conditional MomentsAbdullah Yahia Al-HossainIn this study, we characterize the power inverse Gaussian and generalized inverse Gaussian distributions based on recurrence relations for conditional moments in terms of hazard rate functions. Relations for conditional moments of the largest order statistic (upper record value) given the second largest order statistic (upper record value) are derived from these recurrence relations. Characterizations of the inverse Gaussian, reciprocal … …Journal of Mathematics and Statistics, Vol. 11, Issue 3 · 23 Nov 2015 · 6,868 accessesView PDF Cite

Research ArticleOpen accessIn the abstractModeling and Forecasting Volatility of the Malaysian Stock MarketsAhmed Shamiri, Zaidi IsaProblem statement: One of the main purposes of modeling variance is forecasting, which is crucial in many areas of finance. Despite the burgeoning interest in and evaluation of volatility forecasts, a clear consensus on witch volatility model/or distribution specification to use has not yet been reached. Therefore, the out of-sample forecasting ability should be a natural model selection criterion for … …Journal of Mathematics and Statistics, Vol. 5, Issue 3 · 30 Sep 2009 · 7,906 accessesView PDF Cite