Censored expectation maximization algorithm for mixtures: application to intertrade waiting times

DOI10.1016/J.PHYSA.2021.126456OpenAlexW3203501381MaRDI QIDQ2668259

Markus Kreer, Ayşe Kizilersü, Anthony W. Thomas

Publication date: 3 March 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2021.126456

zbMATH Keywords

model selectionstochastic processesinformation criteriazero-inflated datamixture distributionstick-by-tick datacensored expectation maximizationintertrade waiting times

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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