Approximation of the variance gamma model with a finite mixture of normals |
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| Authors: | Angela Loregian Lorenzo Mercuri Edit Rroji |
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| Institution: | Dipartimento di Metodi Quantitativi, Università di Milano Bicocca, Italy |
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| Abstract: | We investigate the possibility of approximating the variance gamma distribution with a finite mixture of normals. Therefore, we apply this result to derive a simple historical estimation procedure by means of the Expectation Maximization algorithm. |
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| Keywords: | Variance gamma distribution Finite mixture EM algorithm |
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