We investigate the possibility of approximating the variance gamma distribution with a finite mixture of normals. Therefore, we apply this result to derive a simple historical estimation procedure by means of the Expectation Maximization algorithm
Approximation of the variance gamma model with a finite mixture of normals / A. Loregian, L. Mercuri, E. Rroji. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - 82:2(2012 Feb), pp. 217-224. [10.1016/j.spl.2011.10.004]
Approximation of the variance gamma model with a finite mixture of normals
L. Mercuri
Secondo
;
2012
Abstract
We investigate the possibility of approximating the variance gamma distribution with a finite mixture of normals. Therefore, we apply this result to derive a simple historical estimation procedure by means of the Expectation Maximization algorithm
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
1-s2.0-S0167715211003257-main.pdf
solo utenti autorizzati
Tipologia:
Publisher's version/PDF
Dimensione
408.82 kB
Formato
Adobe PDF
|
408.82 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
