Concurrent processing of heteroskedastic vector-valued mixture density models

DOI10.1080/02664760903121236OpenAlexW2007545258MaRDI QIDQ5123643FDOQ5123643

Authors: Ralf Östermark 

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760903121236

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zbMATH Keywords

parallel programminghigh-performance computingmixture densitiesgeno-mathematical monitoringvector-valued ARCH processes

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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Cited In (2)

• A parallel fuzzy GMM-algorithm for approximate VGARCH-modeling with a multi-modal discontinuous merit function
• Massively parallel processing of recursive multi-period portfolio models

Uses Software

• SNOPT
• NLPQLP

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