ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density (Q2218841)

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ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density
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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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