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

Angela Loregian

ARPM

Lorenzo Mercuri

University of Milan

Edit Rroji

Polytechnic University of Milan - Department of Mathematics

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

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

Lorenzo Mercuri (Contact Author)

University of Milan ( email )

Via Festa del Perdono, 7
Milan, 20122
Italy

Edit Rroji

Polytechnic University of Milan - Department of Mathematics ( email )

Via Bonardi, 9
Milano, MI 20133
Italy

Register to save articles to
your library

Register

Paper statistics

Downloads
52
Abstract Views
619
rank
379,262
PlumX Metrics