Approximation of the variance gamma model with a finite mixture of normals

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.

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Year of publication:	2012
Authors:	Loregian, Angela ; Mercuri, Lorenzo ; Rroji, Edit
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 2, p. 217-224
Publisher:	Elsevier
Subject:	Variance gamma distribution \| Finite mixture \| EM algorithm

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571815