ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density (Q2218841)
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scientific article; zbMATH DE number 7297553
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| English | ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density |
scientific article; zbMATH DE number 7297553 |
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ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density (English)
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18 January 2021
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expectation-conditional maximisation (ECM) algorithm
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unbounded likelihood
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multivariate skewed variance gamma distribution
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EM algorithm
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observed information matrix
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normal mean-variance representation
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0.8479402661323547
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0.7583439946174622
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0.7137101292610168
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0.7079727649688721
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0.7005361318588257
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