An EM algorithm for singular Gaussian mixture models

DOI10.2298/FIL1915753MzbMath1499.62178MaRDI QIDQ5864166

Khalil Masmoudi, Afif Masmoudi

Publication date: 3 June 2022

Published in: Filomat (Search for Journal in Brave)

zbMATH Keywords

EM algorithmmaximum likelihoodportfolio selectionsingular multivariate normal distributionfinite mixture

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

An extended Gamma-Lindley model and inference for the prediction of Covid-19 in Tunisia

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity
• A constrained formulation of maximum-likelihood estimation for normal mixture distributions
• Regression models with unknown singular covariance matrix
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Portfolio Selection with Common Correlation Mixture Models
• Discriminant Analysis with Singular Covariance Matrices: Methods and Applications to Spectroscopic Data
• Singular Gaussian graphical models: Structure learning
• Asymptotic properties of the estimator for a finite mixture of exponential dispersion models