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NIG MCMC fit

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NIG MCMC fit

by Panagiotis Braimakis

 

26 Sep 2005 (Updated 27 Sep 2005)

This function implements the Gibbs scheme of Karlis and Lillestol (2004).

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Description

Gibbs sampler for sampling from the invariance Normal Inverse Gaussian distribution. (Bayesian scheme of Karlis & Lillestol (2004))
MATLAB release MATLAB 7 (R14)
Other requirements RANDRAW.m file required.Made by Alex Bar-Guy.
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Tag Applied By Date/Time
statistics Panagiotis Braimakis 22 Oct 2008 08:00:46
probability Panagiotis Braimakis 22 Oct 2008 08:00:46
normal inverse gaussian Panagiotis Braimakis 22 Oct 2008 08:00:46
mcmc Panagiotis Braimakis 22 Oct 2008 08:00:46
gibbs Panagiotis Braimakis 22 Oct 2008 08:00:46

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