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stat.ME2021
The expectation-maximization algorithm for autoregressive models with normal inverse Gaussian innovations
Monika S. Dhull, Arun Kumar, Agnieszka Wylomanska
The autoregressive (AR) models are used to represent the time-varying random process in which output depends linearly on previous terms and a stochastic term (the innovation). In t…
stat.ME2021
Normal Inverse Gaussian Autoregressive Model Using EM Algorithm
Monika Singh Dhull, Arun Kumar
In this article, normal inverse Gaussian (NIG) autoregressive model is introduced. The parameters of the model are estimated using Expectation Maximization (EM) algorithm. The effi…