Concurrent processing of heteroskedastic vector-valued mixture density models

DOI10.1080/02664760903121236MaRDI QIDQ5123643zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics (62-XX)

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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

Describes a project that uses

Uses Software

• NLPQLP
• SNOPT

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