Journal
SIGNAL PROCESSING
Volume 85, Issue 8, Pages 1655-1673Publisher
ELSEVIER
DOI: 10.1016/j.sigpro.2005.03.005
Keywords
heavy tails; EM-algorithm; multivariate; estimation
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The heavy-tailed multivariate normal inverse Gaussian (MNIG) distribution is a recent variance-mean mixture of a multivariate Gaussian with a univariate inverse Gaussian distribution. Due to the complexity of the likelihood function, parameter estimation by direct maximization is exceedingly difficult. To overcome this problem, we propose a fast and accurate multivariate expectation-maximization (EM) algorithm for maximum likelihood estimation of the scalar, vector, and matrix parameters of the MNIG distribution. Important fundamental and attractive properties of the MNIG as a modeling tool for multivariate heavy-tailed processes are discussed. The modeling strength of the MNIG, and the feasibility of the proposed EM parameter estimation algorithm, are demonstrated by fitting the MNIG to real world hydrophone data, to wideband synthetic aperture sonar data, and to multichannel radar sea clutter data. (c) 2005 Elsevier B.V. All rights reserved.
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