ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density
From MaRDI portal
Publication:2218841
Recommendations
- ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
- Likelihood-based risk estimation for variance-gamma models
- Robust estimation using multivariate t innovations for vector autoregressive models via ECM algorithm
- An EM algorithm for multivariate NIG distribution and its application to value-at-risk
- Autoregressive Conditional Density Estimation
Cites work
- A property of the generalized inverse Gaussian distribution with some applications
- A Simplex Method for Function Minimization
- An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
- Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
- Fitting the variance-gamma model to financial data
- scientific article; zbMATH DE number 1614382 (Why is no real title available?)
- scientific article; zbMATH DE number 3768770 (Why is no real title available?)
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 3600847 (Why is no real title available?)
- scientific article; zbMATH DE number 1086057 (Why is no real title available?)
- scientific article; zbMATH DE number 788228 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Maximizing leave-one-out likelihood for the location parameter of unbounded densities
- Maximum likelihood estimation via the ECM algorithm: A general framework
- On the likelihood function of small time variance Gamma Lévy processes
- On the rate of convergence of the ECM algorithm
- Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
- Tailweight, quantiles and kurtosis: A study of competing distributions
- The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
- The Variance Gamma Process and Option Pricing
Cited in
(11)- Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm
- Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models
- An ECM Estimation Approach for Analyzing Multivariate Skew-Normal Data with Dropout
- ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
- Maximum leave-one-out likelihood method for the location parameter of variance gamma distribution with unbounded density
- Modified method of moments for generalized Laplace distributions
- The variance-gamma distribution: a review
- Taking advantage of sampling designs in spatial small-area survey studies
- Fast, effective, and coherent time series modelling using the sparsity-ranked Lasso
- Copula-based pairwise estimator for quantile regression with hierarchical missing data
- Estimation for vector autoregressive model under multivariate skew-t-normal innovations
This page was built for publication: ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2218841)
