An EM algorithm for singular Gaussian mixture models

DOI10.2298/FIL1915753MMaRDI QIDQ5864166zbMATH OpenFDO

Authors Khalil Masmoudi, Afif Masmoudi

Publication date 3 June 2022

Published in Filomat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/FIL1915753M

zbMATH Keywords

EM algorithmfinite mixturemaximum likelihoodportfolio selectionsingular multivariate normal distribution

Mathematics Subject Classification ID

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

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Cites work

• A constrained formulation of maximum-likelihood estimation for normal mixture distributions
• Asymptotic properties of the estimator for a finite mixture of exponential dispersion models
• Discriminant Analysis with Singular Covariance Matrices: Methods and Applications to Spectroscopic Data
• Finite mixture models
• scientific article; zbMATH DE number 5546942 (Why is no real title available?)
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• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 3283209 (Why is no real title available?)
• scientific article; zbMATH DE number 3111121 (Why is no real title available?)
• Optimal portfolio selection with singular covariance matrix
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Portfolio Selection with Common Correlation Mixture Models
• Regression models with unknown singular covariance matrix
• Singular Gaussian graphical models: Structure learning
• The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity
• Trace inequalities with applications to orthogonal regression and matrix nearness problems

Cited in

(5)

• Constrained monotone EM algorithms for finite mixture of multivariate Gaussians
• Estimation of Structured Gaussian Mixtures: The Inverse EM Algorithm
• Approximate EM algorithm for sparse estimation of multivariate location-scale mixture of normals
• An extended Gamma-Lindley model and inference for the prediction of Covid-19 in Tunisia
• Regression with continuous mixture of Gaussian distributions for modeling the memory time of water treatment

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