ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density (Q2218841)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density |
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ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density (English)
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18 January 2021
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expectation-conditional maximisation (ECM) algorithm
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unbounded likelihood
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multivariate skewed variance gamma distribution
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EM algorithm
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observed information matrix
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normal mean-variance representation
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