Computer Science
3 years ago

New method for financial modeling leads to more accurate predictions.

Open Journal of Statistics
A Special Weight for Inverse Gaussian Mixing Distribution in Normal Variance Mean Mixture with Application
Calvin B. Maina, Patrick Weke, Carolyne Ogutu, Joseph A. M. Ottieno

Paper Summary

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The article discusses a method called Normal Variance-Mean Mixture (NVMM) for modeling financial market data like exchange rates and stock prices. The researchers used a special type of distribution called Normal Inverse Gaussian (NIG) to create a new model. By combining different distributions, they were able to simplify the calculations needed to analyze the data. Their approach led to a more efficient algorithm for estimating the model's parameters, making it easier to work with complex financial data.