Approximation of the Variance Gamma Model with a Finite Mixture of Normals (Preprint version)

Loregian, Angela; Mercuri, Lorenzo; Rroji, Edit

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Approximation of the Variance Gamma Model with a Finite Mixture of Normals (Preprint version)

Statistics & Probability Letters, Vol. 82 (2), February 2012, Pages 217–224.

19 Pages Posted: 19 Apr 2011 Last revised: 14 Nov 2014

See all articles by Angela Loregian

Edit Rroji

Polytechnic University of Milan - Department of Mathematics; Department of Statistics and Quantitative Methods University of Milano-Bicocca

Date Written: April 18, 2011

Abstract

We investigate the possibility of approximating the variance gamma distribution with a finite mixture of normals. Therefore, we apply this result to derive a simple historical estimation procedure by means of the Expectation Maximization algorithm.

Keywords: Variance Gamma Distribution, Finite Mixture, EM Algorithm, Laguerre polynomials

Suggested Citation: Suggested Citation

Loregian, Angela and Mercuri, Lorenzo and Rroji, Edit, Approximation of the Variance Gamma Model with a Finite Mixture of Normals (Preprint version) (April 18, 2011). Statistics & Probability Letters, Vol. 82 (2), February 2012, Pages 217–224., Available at SSRN: https://ssrn.com/abstract=1813761