CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
نویسندگان
چکیده
منابع مشابه
Mixture of Normal Mean-Variance of Lindley Distributions
‎Abstract: In this paper, a new mixture modelling using the normal mean-variance mixture of Lindley (NMVL) distribution has been considered. The proposed model is heavy-tailed and multimodal and can be used in dealing with asymmetric data in various theoretic and applied problems. We present a feasible computationally analytical EM algorithm for computing the maximum likelihood estimates. T...
متن کاملNull Distribution of Multiple Correlation Coefficient under Mixture Normal Model
The multiple correlation coefficient is used in a large variety of statistical tests and regression problems. In this article, we derive the null distribution of the square of the sample multiple correlation coefficient, R2, when a sample is drawn from a mixture of two multivariate Gaussian populations. The moments of 1−R2 and inverse Mellin transform have been used to derive the density of R2.
متن کاملOnline Inference in Bayesian Non-Parametric Mixture Models under Small Variance Asymptotics
Adapting statistical learning models online with large scale streaming data is a challenging problem. Bayesian non-parametric mixture models provide flexibility in model selection, however, their widespread use is limited by the computational overhead of existing sampling-based and variational techniques for inference. This paper analyses the online inference problem in Bayesian non-parametricm...
متن کاملRoot selection in normal mixture models
Finite mixtures of normal distributions are attractive in identifying the underlying group structure in the data. However, it is a challenging task to do statistical inference in normal mixture models using the method of maximum likelihood, due to the unbounded likelihood and the existence of multiple roots to the likelihood equation including a so-called spurious root. In this article we propo...
متن کاملA profile likelihood method for normal mixture with unequal variance
It is well known that the normal mixture with unequal variance has unbounded likelihood and thus the corresponding global maximum likelihood estimator (MLE) is undefined. One of the commonly used solutions is to put a constraint on the parameter space so that the likelihood is bounded and then one can run the EM algorithm on this constrained parameter space to find the constrained global MLE. H...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2013
ISSN: 0960-1627
DOI: 10.1111/mafi.12029