Median modifications of the EM-algorithm for separation of mixtures of probability distributions and their applications to the decomposition of volatility of financial indexes

DOI10.1007/S10958-017-3584-0zbMath1388.62043OpenAlexW2762797114MaRDI QIDQ1694661

V. Yu. Korolev, A. K. Gorshenin, A. M. Tursunbaev

Publication date: 6 February 2018

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-017-3584-0

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (2)

On the convergence of median versions of the expectation-maximization algorithm for the separation of finite normal mixtures ⋮ Detecting anomalies in fibre systems using 3-dimensional image data

Cites Work

• Statistical decomposition of volatility
• Unnamed Item

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