Approximate EM Algorithm for Sparse Estimation of Multivariate Location–Scale Mixture of Normals

DOI10.1007/978-3-319-89824-7_24zbMath1397.62185OpenAlexW2884325587MaRDI QIDQ4689047

Paola Stolfi, Mauro Bernardi

Publication date: 12 October 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-89824-7_24

zbMATH Keywords

portfolio optimizationsparse estimationexpectation maximizationmultivariate heavy-tailed distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20)

Cites Work

• Multivariate elliptically contoured stable distributions: theory and estimation
• Sparse inverse covariance estimation with the graphical lasso
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