Keywords and phrases: hepatitis C virus, expectation maximization algorithm, principal component analysis, Akaike information criterion, Anderson-Darling test.
Received: June 26, 2021; Accepted: August 23, 2021; Published: October 7, 2021
How to cite this article: K. Srividhya, A. Radhika and M. Haripriya, A systematic approach of generalized hyperbolic distributions and its subclasses in clinical data, Advances and Applications in Statistics 70(2) (2021), 137-154. DOI: 10.17654/AS070020137
This Open Access Article is Licensed under Creative Commons Attribution 4.0 International License
References:
[1] M. Abramovitz and I. A. Stegun, Handbook of Mathematical Functions, 9th ed., Dover Publications, 1972. [2] O. Barndorff-Nielsen, Exponentially decreasing distributions for the logarithm of particle size, Proceedings of the Royal Society of London A 353 (1977), 401-419. [3] O. E. Barndorff-Nielsen, Normal inverse Gaussian distributions and the modeling of stock returns, Research Report, Department of Theoretical Statistics, Aarhus University, 1995. [4] F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81 (1973), 637-654. [5] P. Blæsild, The two-dimensional hyperbolic distribution and related distributions, with applications to Johannsen’s bean data, Biometrika 68 (1981), 251-263. [6] J. T. Chen, A. K. Gupta and C. G. Troskie, The distribution of stock returns when the market is up, Comm. Statist. Theory Methods 32 (2003), 1541-1558. [7] E. Eberlein and U. Keller, Hyperbolic distributions in finance, Bernoulli 1 (1995), 281-299. [8] J. Fajardo and A. Farias, Generalized hyperbolic distributions and Brazilian data, Brazilian Review of Econometrics 24 (2004), 249-271. [9] J. Fajardo and A. Farias, Multivariate affine generalized hyperbolic distributions: an empirical investigation, International Review of Financial Analysis 18 (2009), 174-184. [10] B. Hansen, Autoregressive conditional density estimation, Internat. Econom. Rev. 35 (1994), 705-730. [11] M. Hellmich and S. Kassberger, Efficient and robust portfolio optimization in the multivariate generalized hyperbolic framework, Quant. Finance 11 (2011), 1503-1516. [12] D. B. Madan and E. Seneta, The variance gamma model for share market returns, Journal of Business 63 (1990), 511-524. [13] D. B. Madan and F. Milne, Option pricing with VG martingale components, Math. Finance 1 (1991), 39-55. [14] D. B. Madan, C. Chang and P. Carr, The variance gamma process and option pricing, European Finance Review 2 (1998), 79-105. [15] B. Mandelbrot, The variation of certain speculative prices, Journal of Business 36 (1963), 394-419. [16] A. J. McNeil, R. Frey and P. Embrechts, Quantitative risk management, concepts, techniques and tools, Princeton Series in Finance, Princeton University Press, Princeton, NJ, USA, 2005. [17] C. Necula, Modeling heavy-tailed stock index returns using the generalized hyperbolic distribution, Romanian Journal of Economic Forecasting 10 (2009), 118-131. [18] M. F. Osborne, Dynamics of stock trading, Econometrics 33 (1965), 88-113. [19] A. Tjetjep and E. Seneta, Skewed normal variance-mean models for asset pricing and the method of moments, International Statistics Review 74 (2006), 109-126. [20] S. Virginie Konlack and D. Wilcox, A comparison of generalized hyperbolic distribution models for equity returns, J. Appl. Math. 2014, Art. ID 263465, 15 pp.
|