Latent class models for financial data analysis: some statistical developments

DOI10.1007/s10260-012-0214-3zbMath1332.91113OpenAlexW2164277132MaRDI QIDQ257416

Luca De Angelis

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: http://amsacta.unibo.it/2894/1/Latent_class_models_for_financial_data_analysis.pdf

zbMATH Keywords

portfolio choicelatent variablefinancial data analysislatent class modelrisk-return profile

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (1)

Clustering of financial time series in risky scenarios

Uses Software

• Latent GOLD

Cites Work

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• Latent class models for classification
• Clustering financial time series: an application to mutual funds style analysis
• Latent class models for mixed variables with applications in archaeometry
• Clustering heteroskedastic time series by model-based procedures
• A mixture likelihood approach for generalized linear models
• A simulation study to compare robust clustering methods based on mixtures
• Model-Based Gaussian and Non-Gaussian Clustering
• A new look at the statistical model identification

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