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
Date Written: April 18, 2011
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
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