Fitting heavy-tailed mixture models with CVaR constraints

DOI10.1515/DEMO-2019-0019zbMATH Open1439.62155OpenAlexW2989602064MaRDI QIDQ2178951FDOQ2178951

Giorgi Pertaia, Stan Uryasev

Publication date: 12 May 2020

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2019-0019

zbMATH Keywords

finite mixtureConditional Value-at-Risk (CVaR)CVaR-distanceCVaR-norm

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistics of extreme values; tail inference (62G32)

Cites Work

• Title not available (Why is that?)
• Coherent measures of risk
• On algorithms for restricted maximum likelihood estimation
• A study of Gaussian mixture models of color and texture features for image classification and segmentation
• CVaR (superquantile) norm: stochastic case
• CVaR norm and applications in optimization
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• The Restricted EM Algorithm for Maximum Likelihood Estimation Under Linear Restrictions on the Parameters
• CVaR distance between univariate probability distributions and approximation problems
• Constrained EM algorithm with projection method

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