Email this article On Robust Algorithm for Finding Maximum Likelihood Estimation of the Generalized Inverse Gaussian Distribution*
- Authors: Yaroshenko I.1
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Affiliations:
- Lomonosov Moscow State University
- Issue: Vol 218, No 3 (2016)
- Pages: 354-362
- Section: Article
- URL: https://ogarev-online.ru/1072-3374/article/view/238237
- DOI: https://doi.org/10.1007/s10958-016-3035-3
- ID: 238237
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Abstract
In this paper, we propose robust numerical methods for finding the maximum likelihood estimation of the generalized inverse Gaussian distribution. A comparative analysis of the existing algorithms and the results of numerical experiments are presented. Special attention is paid to reproducibility of the tests.
About the authors
I. Yaroshenko
Lomonosov Moscow State University
Author for correspondence.
Email: ilyayaroshenko@gmail.com
Russian Federation, Moscow
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