Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes

DOI10.1287/ijoc.2014.0616zbMath1359.60031OpenAlexW2165052202MaRDI QIDQ3466767

Jin Wang, Michael R. Taaffe

Publication date: 25 January 2016

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2014.0616

zbMATH Keywords

EM algorithmMonte Carlo simulationmixture of normalskurtosis and skewness

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probability distributions: general theory (60E05) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Uses Software

• RiskMetrics

Cites Work

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