An EM algorithm for singular Gaussian mixture models

DOI10.2298/FIL1915753MzbMATH Open1499.62178MaRDI QIDQ5864166FDOQ5864166

Khalil Masmoudi, Afif Masmoudi

Publication date: 3 June 2022

Published in: Filomat (Search for Journal in Brave)

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zbMATH Keywords

EM algorithmmaximum likelihoodportfolio selectionsingular multivariate normal distributionfinite mixture

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Portfolio optimization when asset returns have the Gaussian mixture distribution
• The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity
• Regression models with unknown singular covariance matrix
• Asymptotic properties of the estimator for a finite mixture of exponential dispersion models
• Portfolio Selection with Common Correlation Mixture Models
• Singular Gaussian graphical models: Structure learning
• Trace inequalities with applications to orthogonal regression and matrix nearness problems

Cited In (3)

• Estimation of Structured Gaussian Mixtures: The Inverse EM Algorithm
• Constrained monotone EM algorithms for finite mixture of multivariate Gaussians
• An extended Gamma-Lindley model and inference for the prediction of Covid-19 in Tunisia

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